\documentclass{article}
\usepackage[pdftex,active,tightpage]{preview}
\setlength\PreviewBorder{2mm}
\usepackage{amsmath,array}
\usepackage{tikz}
\usetikzlibrary{decorations.pathreplacing}

\renewcommand\arraycolsep{4pt} % default value: 6pt

\newcommand\tikzmark[1]{%
  \tikz[overlay,remember picture,baseline] \coordinate [anchor=base] (#1);}

\newcommand\DrawBrace[3]{%
  \draw [decorate,decoration={brace,amplitude=3pt,mirror,raise=15pt}]
    (#1) -- (#2) node [black,midway,sloped,yshift=-10pt] {\footnotesize$#3$};
}

\begin{document}
\begin{preview}
\begin{equation*}
\left( \,
\begin{array}{r@{}r@{}r r r}  % @{} is used twice to suppress intercolumn whitespace
  \underbrace{
  \boxed{ 
    \begin{array}{rrr}              % First block
        1  &        & 0\\
           & \ddots &  \\
        0  &        & 1\\
    \end{array}
  }}_{p} \\
  & 
  \underbrace{
  \boxed{
    \begin{array}{rrr}            % Second block
       -1  &        & 0 \\
           & \ddots &   \\
        0  &        & -1\\
    \end{array}
  }}_{q} \\
   & & \boxed{
          \begin{array}{rr}           % Third block
            \cos \omega_1 & -\sin \omega_1\\
            \sin \omega_1 &  \cos \omega_1\\
          \end{array} 
        } \\
  & & & \ddots\\                          % Fourth "block" -- not boxed
  & \tikzmark{a}& & & \boxed{
            \begin{array}{rr}       % Fifth block
                \cos \omega_r & -\sin \omega_r\\
                \sin \omega_r &  \cos \omega_r\\
            \end{array}
          } \tikzmark{b} \\
\end{array}\,\right)
\end{equation*}

\begin{tikzpicture}[remember picture,overlay]
\DrawBrace{a}{b}{r}
\end{tikzpicture}

\end{preview}
\end{document}
