Based on a day trip in 2004.
I guess it was my ongoing fascination with tiny countries that brought me to Luxembourg (I'm also planning on visiting Liechtenstein, Monaco and Andorra at some point). Luxembourg definitely makes for a nice day trip from Brussels. I was initially worried that one day (including the trip to and from Brussels) might not be enough time. However, once I got to Luxembourg, I quickly realized that an afternoon is actually enough time to see the city. Luxembourg definitely has a very scenic location on top of a hill, surrounded by a river. It is fun to just walk around the old town, along the town wall fortifications and along the river. Other than that, it is not the most exciting of towns. You will mostly meet older people and families with small kids, and the whole city is very calm, clean, and respectable (one of the main features being the many banks in the city). Luxembourg is also home to parts of the European Commission and to the European Court of Justice, an EU institution which may be worth a visit (I was there on a weekend, so I didn't have a chance to check it out). To summarize, if you have a couple of hours to spare and are in the area, Luxembourg is definitely worth a visit.