The expression "cold enough to freeze the ball off a brass monkey" comes from when ships had cannons. The cannon balls were stored on brass plates called brass monkeys which were full of holes to hold the balls in place. When the temperature dropped the plates contracted and the holes were too small causing the balls to roll off.
I had a feeling this one was wrong, so found this:
"The coefficient of expansion of brass is 0.000019; that of iron is 0.000012. If the base of the stack were one metre long, the drop in temperature needed to make the 'monkey' shrink relative to the balls by just one millimetre, would be around 100 degrees Celsius. Such a small shrinkage wouldn't have had the slightest effect."
There's also the fact that cannonballs were stored on wooden planks with holes cut in them, called "shot garlands" and not "monkeys". There were, however, references to a type of cannon known as a Brasse Munkey (or Drake or Dog) so there may be some nautical link.
Anyway, why would you spend money on brass for keeping cannonballs when wood is just so much cheaper and easier??