Having a brain means that you not only know how things are, but you also understand how things ought to be. Which means that you're constantly being made aware that things are not as they ought to be. – The above sentences are copied from
http://www.chabad.org/library/article_cdo/aid/1396/jewish/Why-Its-Frustrating-to-Have-a-Brain.htm
In my society (I am a Taiwanese, I am now here in Taiwan), if someone says “having a brain” to you, it is a cursing word, which means you should have been smarter.