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The Pyramids allow you to change your government much earlier in the game than normal, allowing you to reap the benefits of Democracy early, assuming you can keep your citizens happy.
Built by the fourth dynasty of Egyptian rulers on the Giza plateau outside modern-day Cairo, the Pyramids represent the pinnacle of ancient Egyptian cultural achievement. These Wonders were burial tombs and monuments for the Pharaohs and may have required generations and tens of thousands of workers to complete. They were ancient monuments when visited by Herodutus, centuries before the time of Christ. They are the only one of the generally accepted seven wonders of the ancient world that still stand. The construction of the Pyramids implied a highly stable government and well organized society.