When it comes to how many hits they can take or how hard they hit overall, I believe the brute wins. Though the brute might just be the easiest mob in the entire game to lazily perfect parry as well.
The shaman only takes like 2 hits to kill (0 star at least) but it's kind of a support role for greydwarfs. Not only are they the earliest enemy that can poison you (for like 5 seconds which you pretty much always survive unless you haven't eaten a single thing), they heal any nearby greydwarves and even trolls.

In a group (especially "the forest is moving" raid) I prioritize the shaman first, mostly so it can't undo all my other work in the fight. I tend to save brutes for last but that's because they CAN go down in 2-3 hits if you parry them and get the staggered crit, and its much easier to time blocks perfectly when you dont have like 8+ incoming damage sources.