Mac OSX System Integrity Protection
Part of the OS X 10.11/El Capitan changes is something called System Integrity Protection or "SIP".
SIP prevents you from writing to many system directories such as /usr, /System & /bin, regardless of whether or not you are root. The Apple keynote is here if you'd like to learn more. As noted in the keynote, Apple is leaving /usr/local open for developers to use, so Homebrew can still be used as expected.
One of the implications of SIP was that you could not simply create /usr/local if you had removed it. This issue was fixed with the com.apple.pkg.SystemIntegrityProtectionConfig.14U2076 update.
If you see permission issues instead try:
- Reboot into Recovery mode (Hold Cmd+R on boot) & access the Terminal.
- In that terminal run: csrutil disable
- Reboot back into OS X