There are two things that decide how bright a star or galaxy looks. How bright it actually is if you were there, which usually depends on how big it is (bigger = brighter) and how far away is is. A lot of things are far too small and too far away to see with the naked eye.
There are many other stars in our galaxy that give off as much light as our sun, or even more, but they are a very long way away from us. As the light travels from those stars to us the light gets spread out over a larger and larger area, so that only a very tiny amount of it reaches us on Earth, this is often not enough for us to be able to see with the naked eye, even at night.