Can I use that board instead of OSB for sheathing? I will have brick on the outside and I know that bracing will be required in the corners. Any disadvantages?

Polyisocyanurate Board has one of the best R-values for sheathing but has several drawbacks you should know about:
1. As you already know it is not a structural grade sheathing and additional bracing is required if it is used.
2. It releases toxic fumes if it is ignited or exposed to flame. (Because of this it may not pass your local building code.)
3. It will deteriorate if exposed to UV radiation or sunlight.
If your local building code allows it’s use, and you decide to use it, I would suggest you use the foil faced. When installing it be sure to tape all the joints to prevent possible air infiltration. Diagonal wind bracing must be installed at all corners of the house.

Glenn Good

Thanks,
I am planning to build a house with 2x6's on the exterior and I am looking to use wet sprayed cellulose instead of fiberglass as I feel will give me a better job of insulating.
Also just found about a product called icynene that I saw on a home and garden show that looks appealing but I have not made any comparison in price between the cellulose and this icynene foam. Have you any experience with either the wet celulose or icynene?
Again, thanks for the info.

I have experience with both and they are both good insulators. On thing you need to be aware of; foam insulation does have the potential to bow sheathing, drywall, and other items that are not solidly braced, when it swells. Never use it in a confined space or it can damage the wall when it swells. Most professional installers are aware of this and will make allowances.

Glenn Good