So yeah, those are your usual resource-permitting options early in the game, plus they're good for harassing the enemy and/or cannon fodder while you get your big ships in position. The sloop is cheaper and slightly faster, and as far as stats go it says they have slightly more firepower and hull strength, but brigs have more guns, and sometimes seem to do slightly more damage, though I've had mixed results.
The sloop's cheapness makes it ideal for filling up trade fleets early in the game on Darthmod, especially for smaller factions.
On my USA world domination campaign my battle fleets were mostly 24-pounder-frigates and brigs, in a crude attempt at achieving some degree of historical accuracy - although in that alternate timeline the US conquered Iceland, France and all of Spain's American possessions - It was a decent enough combo, though-had the brigs soften the enemy up then had the frigates capture stuff.
Tangents aside, which is actually more effective, combat-wise?