In a large saucepan, bring milk and water to a boil. Add the steel cut oats, and cinnamon, reduce heat to low, stirring occasionally until creamy and cooked through. (Alternatively, cook according to package directions)
In a medium skillet over medium heat, heat butter until melted, add the sliced apples and toss until coated with butter. Sprinkle with the sugar, cinnamon nutmeg, and stir. Cook for about 5 to 7 minutes, until the apples have softened. Add in the lemon juice, and brandy. Cook for an additional minute or two until the sauce is slightly reduced.