Here's the catch:
* Proxima Centauri is too faint to see with the naked eye. You need a telescope to observe it.
* The brightest star you can see at night is Sirius, but it's much further away than Proxima Centauri.
To answer your question directly:
* Closest visible star (with telescope): Proxima Centauri, 4.24 light-years away.
* Brightest visible star (with naked eye): Sirius, 8.6 light-years away.