Brazil Nuts usually originate from various countries in South America, and not just Brazil as the name suggests. Brazil nuts are perhaps best-known to nutritionists as a good source of selenium, which is an essential trace nutrient. Selenium is believed to have a protective effect within the body, although as with most nutrients, we are nowhere near understanding this type of thing.
Brazil nuts are typical amongst nuts for protein (around 17-18%) and carbohydrates (around 13%). Their fat content (just under 70%) contains a high proportion of saturates (15% of overall nut weight), but this still only works out to be a couple of grams per handful. They also contain a high proportion of omega-6 fatty acids, which are the "good" fats of course.