Brave New World is chock-full of references to one Shakespeare play after another. (See "Shout-Outs.") But the most important reference, at least thematically, is to The Tempest. The line in question is this: "Oh, wonder! / How many goodly creatures are there here! / How beauteous mankind is! O brave new world, / That has such people in 't!" In Huxley's novel, the line is spoken by John, the "Savage" raised on an Indian Reservation who, as an adult, is brought to the "civilized" World State, a.k.a. Huxley's futuristic bad place. An avid Shakespeare reader, John is excited about the prospect of visiting a "new world."
So now we go to The Tempest to see what's up. In the play you've got a young woman named Miranda, who has been on an island her entire life with only her father and two little spirits. So she's basically never seen a man that's a good contender for a romance. Then, a ship comes up on shore with lots of men. She spots one of the men, Ferdinand, and gets all excited. But this line, the "brave new world" line, comes at the end of the novel, when she finally sees all the other men. As you can see, there's a lot of sexuality beneath the surface here.
Which brings us back to the irony of having John the Savage repeat this line. Since John is adamantly anti-sex, it's likely that he's ogling the new world and the "goodly creatures" in it without addressing those goodly creatures' sexuality. On the other hand, we know he's already smitten with Lenina when he quotes Miranda, so he might be alluding to the sexual undertones, although probably not consciously (as we know, John beats himself up when he starts thinking sexual thoughts, but there's no guilt to be seen at the point when he repeats the line).
John ends up reciting this quote several times throughout the book, and, as you'll read in "Shout-Outs," this is a great way to examine how his view of the civilized World State – the "brave new world" – changes. And not in a good way, either.