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Brown, who plays Dot Cotton, was made an MBE. She told the BBC that it was "lovely" news.
O'Grady, also given an MBE, said: "I thought it was a wind-up. I'm the last person, I'd have thought, who would be given an MBE. What have I done to deserve it? I've just sat there night after night banging out telly."
Davies, who was behind the BBC's 2005 revival of Doctor Who, is now an OBE.
Other honours in entertainment this year include CBEs for veteran presenter Des O'Connor and comedienne Victoria Wood.
"I just wish my mum and dad were still here to see it," said O'Connor."I was born in the East End of London to a working class family and they would have been elated."
