One of the things I've stated before about things for HoI2, is the increased customization of units.
Namely, being able to attach and detach the specialized brigades, such as arty, AA and the like, and move them around individually.
I think certain movement and combat penalties would be a good idea. Seeing as how the brigade size is smaller than the division, a lone arty brigade wouldn't do very well if fighting even only 1 vanilla infantry brigade.
The movement penalty would be because of not having any motorized support. Unless you assume that AT and Arty brigades include their own motorized transportation (or are self propelled variations, but only for later in the war), they would move slowly by themselves unless attached to a division, in which case they would then move at the same speed as the division.
Also, while we're on the subject of brigades, I think the brigades should also have the option of what model you want to use much like armor and airplane squadrons (say, light AT guns as opposed to the latest heaviest AT guns) because if you want to keep a faster moving infantry division, lighter variations would be a better idea in this case. And once you get into the Self Propelled Artillery and Anti-Tank Destroyers, you wouldn't even need to worry about the slow movement speed as much.
I feel this gives much more 'material' and 'feel' to using the added brigades, because as it stands now, the brigades seem nothing more than just a smaller icon in the corner of an already small icon, with the added benefits as the only way to tell it's even there...