Starting with the sugar in a cold 10-inch frying pan, melt sugar over medium heat. (This is so cool to watch.) Once the edges of the sugar start to melt, stir the sugar until all lumps have disappeared. Remove from heat. Toss the pecans in melted sugar until coated. It will look a bit like spun sugar as you stir the pecans into the sugar and the pecans will stick together as they cool. Transfer to a plate to cool completely. Once pecans have cooled, break the mass apart using your hands and give them a rough chop. Cut feta into a 1/4 inch dice.
Now you are ready to assemble the salad. Place 4 tablespoons of olive oil and 2 tablespoons of vinegar into a large frying pan over low heat. The heat should not be so high that the dressing sizzles. Once the dressing is warm, place leaves into the pan, and toss the dressing with the sprouts. Transfer to a large plate. Sprinkle with cheese and nuts then salt and pepper. This wonderful dish is something you will add to your Thanksgiving meal for years to come. Brussels sprouts are no joke.