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Wool
Art et Fil, 25 rue du Bailli, Ixelles. It's a proper wool shop - lovely wide selection.
But they are closing Rue du Bailli, you need to hurry up!
That's a shame that it's going to close! Here is a link to some other options in and around Brussels.
http://www.forumtricotin.com/index
It's in Halle, but may be worth a visit. Go Saturday morning and take in the market while you're there.
Leuven, but they talk funny and it's not Brussel. Right in the center and opposite the gun shop. I would google but you can surely do it yourself.
"Opposite the gun shop" - LOL.
I also would suggest Leuven easy to get to on a bus from Overijse and a few nice wool shops there. Check this out
http://dominiqueknitting.blogspot.be/2007/06/yarn-shopping-in-leuven.html
It is old but I have to say Leuven is great for a mooch around also there is a face book knit and bitch in brussels group might be worth asking them let us know what you discover