If the side walk is already poured, and cured, clean it of gross debris with a broom, and water hose. then etch it a little with muriatic acid so that the cement or mortar will stick. If it is a new construction project you will have a lot more options as you can do more techniques as you are pouring.
For an old sidewalk: After cleaning, and prepping trowel a 1" layer of mortar on to a small section of the sidewalk, and lay pebbles, flag stones, or whatever suites your fancy into the mortar. Make sure that the materials you are adding have been washed well, and keeping them a little damp helps with bonding to the mortar also. Press the aggregate(rocks and stuff) into the mortar about half the thickness of the piece of aggregate. You can add colorant to the mortar too for a really nice natural look. You can also use complimentary colors like green mortar colorant, and reddish rocks etc.... get creative!
On an old sidewalk you can just pour Portland cement with colorant added, and don't push the aggregate already in it down or trowel the finish for an old "scalded" look. This will be very rough though, and not as durable as a finished surface.
For a brick look on old concrete. Mix up mortar with red, and brown colorant to simulate the color brick you wish to have. Then spread it about an inch thick. Try to cover a large area though for an even appearance. Then score the mortar with a trowel in even "grout lines" the size, and shape of the "bricks" you are simulating. You could even come back with uncolored or gray colored mortar, and grout the lines to really pull it off.
On new construction, you can use the same trick as in step 1. just push the decorative aggregate into the wet cement, and add your colorant to the whole batch for the sidewalk. This is the best way to do it as the whole slab will be very uniform in color, and finish.
On new construction your can buy texture templates, and rock molds. You pour the concrete into the molds, and press the templates into the finish. the templates are even called concrete stamps sometimes. You can also build your own molds and stamps! Using a broom, or wooden plank or another flat rock, anything you can imagine really, you can put different textures into the surface of the concrete.
On new construction you are going to do the same thing as in step 4 for the brick look. Scoring the wet finish, and adding colorant to the whole batch. This technique works much better in new concrete, and is much stronger than mortar facade.
Think outside the box, and be creative. Cement is an amazingly diverse, and easily workable media. You can usually do almost anything you can dream up. The colorants can be mixed, and matched for custom colors. You can even sprinkle, brush, or apply the colorant powder directly to damp concrete to give it a swirled or marbled look with different colors. You can use almost anything for a decorative aggregate. Buy books on concrete working, and mold building, and go crazy!