Red bricks and other varieties are kiln fired, not unlike ceramics and glass.
Concrete cinder blocks are cured in a mold, as with all concrete.
Adobe is often sun-baked in desert climates, but it's not as practical in other climates.
Cobble stones are hewn from found or quarried rock. Not all rock can withstand all environments, based on frost action and other factors. Graveyards tend to regulate head stone selection for this reason.
So it all really depends on your brick selection, and what will work for where you are, and how much you want to spend.