We explore the possibility to locate a brane in black hole backgrounds. We study explicitly the cases of BHTZ and Schwarzschild-anti de Sitter (AdS) black holes. Our result is that branes cannot be supported by brane tension alone and it is necessary to introduce other forms of matter on the brane. We find classes of perfect fluid solutions obeying to peculiar state equations. For the case of BHTZ bulk geometry the state equation takes exactly the form of a ``Chaplygin gas'', which is relevant in the brane context. In the Schwarzschild-AdS case we find new state equations which reduce to the Chaplygin form when the brane is located near the horizon.