Persistent nonequilibrium effects such as the memory of the initial state, the ballistic diffusion, and the break of the equipartition theorem and the ergodicity in Brownian motions are investigated by analytically solving the generalized Langevin equation of nonrelativistic Brownian particles with colored noise. These effects can also be observed in the Brownian motion of relativistic particles by numerically solving the generalized Langevin equation for specially chosen memory kernels. Our analyses give rise to think about the possible anomalous motion of heavy quarks in relativistic heavy-ion collisions.