Typically you would use a clear silicone. Everything around the window should be sealed with house wrap and weatherstripping. There will be an air space behind the brick so any moisture can travel down the wall and out the weep holes. You just don't want the water to get behind the house wrap.

I actually used the Huber Zip System, so no house wrap. I was just curious if I definitely needed to caulk around the window. I had read something about using NP-1

Yes. I would use caulk. You don't want water getting back there if you can help it.

The brick cladding is your first layer of weather resistance. Any openings or cracks like at windows must be sealed.

A backer rod is great if there is enough joint depth to allow it to stay in place.

Thanks for all the input. Should I caulk all the way around, or leave the bottom uncaulked, like they did when they installed the windows?

The window should be located just above a sloping brick, stone, composite, etc. sill with sealant on all 4 sides because you want to keep rain water out of the cavity. Water that gets into the cavity should drain out through weeps at the bottom of the wall and above openings. Leaving the bottom of the window frame nailing fin unsealed allows water that gets inside the window frame to drain into the cavity and then down to the weeps.