Given an algebraic variety X, the Brauer group of X is the group of Azumaya algebras over X, or equivalently the group of Severi-Brauer varieties over X, i.e. fibrations over X which are étale locally isomorphic to a projective space. It was first studied in the case where X is the spectrum of a field by Noether and Brauer, and has since became a central object in algebraic and arithmetic geometry, being for example one of the first obstructions to rationality used to produce counterexamples to Noether's problem of whether given a representation V of a finite group G the quotient V/G is rational. While the Brauer group has been widely studied for schemes, computations at the level of moduli stacks are relatively recent, the most prominent of them being the computations by Antieau and Meier of the Brauer group of the moduli stack of elliptic curves over a variety of bases, including Z, Q, and finite fields. In a recent series of joint works with A. Di Lorenzo, we use the theory of cohomological invariants, and its extension to algebraic stacks, to completely describe the Brauer group of the moduli stacks of hyperelliptic curves, and their compactifications, over fields of characteristic zero, and the prime-to-char(k) part in positive characteristic. It turns out that the Brauer group of the non-compact stack is generated by elements coming from the base field, cyclic algebras, an element coming from a map to the classifying stack of étale algebras of degree 2g+2, and when g is odd by the Brauer-Severi fibration induced by taking the quotient of the universal curve by the hyperelliptic involution. This paints a richer picture than in the case of elliptic curves, where all non-trivial elements come from cyclic algebras. Regarding the compactifications, there are two natural ones, the first obtained by taking stable hyperelliptic curves and the second by taking admissible covers. It turns out that the Brauer group of the former is trivial, while for the latter it is almost as large as in the non-compact case, a somewhat surprising difference as the two stacks are projective, smooth and birational, which would force their Brauer groups to be equal if they were schemes.