From what I understand, sandblasting works best, but requires serious machinery/produces huge amounts of dust and noise. Next up is "dry ice blasting" (pellets of dry ice are shot at the wall where they explode, and remove the paint). This is also loud, expensive, and can damage the bricks. You can also just sand the wall with various hand tools (VERY labor intensive).
If you select boards with knots, there is a good chance that they will bleed through, even if you use a sealer or shellac based primer. The resins in knots is persistent.
Clear boards are usually used for moldings, including baseboards. You could also use MDF (medium density fiberboard) or solid vinyl composite molding. When painted, they are hard to distinguish from wood in most applications. (I think they look a little too smooth and I prefer wood). For painted applications, there is also fingerjoint molding, which is made of interlocked short pieces and is cheaper than clear boards. Much pre-primed molding is fingerjoint. Occasionally these joints may show if the quality is not high.
For wood or MDF, a light sanding with 120 grit paper is recommended to remove milling glaze and to give the wood a tooth to better take paint. An orbital sander is fine
Then prime and paint. Many prefer oil based primer on raw wood and MDF. Some vinyl says it can be painted directly, but I would also give it a sanding (or avoid it unless necessary, such as in outdoor uses).
Latex paint is fine for a finish coat, but it tends to look less smooth than oil (alkyd) based finishes. Adding a leveling agent like Floetrol helps, but nothing lays as smooth as a good oil based enamel.
(P.S. To me, using a really smooth straight clear board, in furniture or in molding, is appreciating and honoring the wood, the tree, nature. But to each his/her own.)
Best Answer
This all depends on how long the paint has been on the house and what kind of shape it's in. Because brick is a porous material paint adheres very well to it. I think your first step would be going to the local paint store and rent a power-washer. A gas powered power-washer. You are going to need as much psi as possible (at least 3000+) with a pin-hole revolving tip. This will blast away any paint that is loose on the brick.
This should be less damaging to the brick and mortar than sand blasting.
Depending on how successful this was in removing paint dictates your next steps, if most of the paint is gone, then maybe just a wire brush and some paint remover will get the job done. If you've power-washed your whole house and it is still covered in paint, then I would call a contractor and get quotes.