Running a mains electric cable through some brickwork for outside lighting - what's a recommended sealant/foam/gunge to use please?

If your airtight, you'd be better off drilling a hole, putting a 20 or 25mm PVC conduit through and then use airtight tape to seal the inside end of the conduit to the cables. Use something like CT1 or Sikaflex to seal the conduit to the fabric of the house accordingly, squirting just a little in the outside end around the cables to make it weathertight. A bit more tape that end if possible. 

A cheat here is to fix the conduit last so you can slide it back into the house to make off the inside with ease, then slide it too fat out to make off the outside. When you slide it back in, to its final position, the tape should be almost all inside the walls with next to nothing showing, thus making any exterior fitment of lights / other much easier.