In a country currently known as Egypt (Ararb Republic of Egypt, Gomhoreyyet Maṣr el-ʿArabeyya) there are a number of pyramids, depending on how you count them, some hundred and fifty of them. The oldest (as far as we know) are in Saqqara, with the Pyramid of Djoser estimated as currently being about 4,600 years old. We'll focus on the pyramids in Giza though.
The three largest pyramids (The Great Pyramids) in the Giza Necropolis are Khufu's (Great Pyramid of Giza) Khafre's (sometimes Sphinx Temple) and Menkaure's (the smallest of the three).
Why, well "Cheops Pyramid on Egypt's Giza Plateau" is the last remaining of the Seven Wonders of the World, after all, and the three making up The Great Pyramids rather go together.
Just to note before we start. These are mostly just some thoughts, not always some sort of outline. Also, a number of the comments below are not necessarily meant to only specifically apply to The Great Pyramids, or even to only pyramids found in Egypt.
In considering The Great Pyramids, the only logical reasonable discussion involves attributing the motivations, planning, organizing and construction to humans. To the indigenous peoples of the Earth working in groups over some number of decades or perhaps even centuries; over some number of generations.
As far as the technology, the Babylonian and Egyptian civilizations (and later the Greeks) had some sort of what we could call "advanced engineering" capacity. That's say as far back as 4,000 years ago, and before. As has been said too, multi-story palaces are their own proof.
When it comes to the blocks used to make these pyramids (The Great Pyramids) they were heavy. We might say they ranged in weight from 5,000 to 160,000 pounds, or 2.5 to 80 tons. Certainly it's possible though (as it has been demonstrated by their existence) to make and move some large numbers of large stone blocks even in conditions not exactly conducive to doing such. Given the time and the inclination, what couldn't be done?
Now, there are a number of later more recent pyramids in Egypt and elsewhere (that are more clear in their construction in many cases) that have essentially fallen apart from the mere passage of time. However, the Great Pyramids have not. (Hardier than that even. One anecdote is that in the late 1100s AD when Saladin's son Al-Aziz Uthman attempted to have Menkaure's torn down, the results of the effort over a few months were naught more than a big gash on the north face of the structure.) That The Great Pyramids still exist largely intact only tends to show that whatever they knew in 2,000 or 3,000 BC it was enough to build something that wasn't going to fall apart.
How were the blocks moved though? A lot of people dragging them over sand that had been partially solidified by others pouring large amounts of water on the ground. (We don't need to make up large magical heat machines turning the sand to glass, although it's certainly more preferable to the imagination for some.) Another way, having a cradle of some sort to make the resulting block/cradle combination rollable, along with watered sand, a few dozen people (or a few dozen thousands overall) and a lot of time. We can only guess based upon what some say and what some have found in the way of equipment. It's difficult to say exactly, because while enormous stone structures do last thousands of years, the mechanisms and tools and visible results of the methods don't last anywhere near that long.
One curiosity of The Great Pyramids (the three largest) are laid out in ways on the ground that are quite perplexing. And awesomely interesting. Not only are they each (like many other pyramids) aligned to cardinal directions with an almost eerie accuracy, but the three taken together as a whole seem to mimic various aspects of various constellations as might have been seen theoretically as far back as some twelve thousand years ago. (10,500 BC if we consider something like Orion's Belt) . However, some of these ideas and opinions rely upon looking at The Pyramids from below or above, we might say mirroring or flipped. It's all guesswork though, such as the idea there is a panleonian lost civilization in there somewhere. Or that these pyramids are mostly just large books detailing a great deal of mathematical information.
At the least curious, in that we also have the shafts in Khufu's and some of the ideas about them and how they might be "pointing" at aspects of Ursa Minor and Sirius and so on. What some find more interesting though, are the "doors" within, that are essentially unseeable and unreachable. (The ones in the Queen's Chamber were bricked up until 1872 when they were found - guessed at and located by what likely amount to sheer luck.) The shafts have been reached recently though, by using robots and fibre-optic cable, items are nothing anyone had prior to their first uses starting in the early 1990s.
Moreso, these four shafts (hidden unnoticeable closed shafts we might say) are not in any pyramid before or after. And the two lower shafts appear to only go nowhere. Polished limestone of the exterior type fitted with copper at the ends 20 feet from the outside. So on and so forth.
Even more to the point about the shafts. Or at least the lower ones. Sometimes they're called air shafts, but as we've said not just closed inside they're not open outside. Short of some pneumatic acrobatics, or something else we don't know, that's unclear. Even if we go thinking about symbolism or start poking around in religious beliefs circa 3,000 BC and thereabouts. Or by making up magic, or proposing technology that would be impossible to have on this planet even a few decades ago, much less a few thousand or tens of thousands. (The religious answer, with or without The Book of the Dead, appears the only logical one, but there you go attributing modern ideas to the ancients.) For the upper smaller shafts, that might be another set of odder questions, even if they do go outside.
Perhaps it's akin to what we say about the moon landings in the late 1960s and early 1970s; the simple easy true answer is that we had the technology to do it, but not the technology to fake it. Not a very sexy answer though.
Rather than what the shafts are or how they work or why there were put there? What is even more interesting potentially are the questions revolving around the practicality of inserting these shafts, however straight (or curving around other areas internal to Khufu's) or closed off anything is or isn't. We also skip across the question and problem of actually getting all these stones that comprise The Great Pyramids into place, via whatever ramps or such we might suggest were used in some manner somehow. (Actually, we're not even going to cover any of the varied guesses and hypotheses on how the building blocks of these pyramids got into their final places and actually created pyramids.)
When it comes to the shafts themselves, how does one pre-plan and pre-build the components of the shafts (the spaces or channels without material in them) on all the blocks - and in the proper positions and order in the blocks - before putting the multi-ton blocks in place? Who could even do so today even? An easier answer might be that the "missing materials" that creates the shafts were removed after the blocks were in place. That the blocks were put in whole, and during the placing process before moving on to more blocks being placed, channels were cut. Which is rather just another set of questions to answer of how that was done; but it seems a more reasonable (simpler) answer than the shafts being "dug" before the blocks were put in place. Which probably means it's not true Another even simpler answer is that all you need are two things. A flat block (the floor) and on top of it another block that has a groove or channel cut into the middle of it. Say, a roughly 7 in x 7 in (or 5 to 9 inches as they vary) counter-sunk square space going along the center of one long set of blocks. Air, light, water, energy, spirit. Religion and random. (There are also questions about why both north and south and upper and lower that get piled on after that.)
Either way (whichever way) The Great Pyramids are an engineering wonder, each a project of such magnitude that even today we'd be hard-pressed to accomplish, even with all our technology and machinery. Once we start considering these shafts in one of the pyramids though, that already difficult project becomes an order of magnitude (at least!) larger. One might even call such additions an engineering nightmare, no matter how they were actually planned and carried out or for what reasons. That there are shafts in one pyramid, and that there are doors in two of these shafts, and that the "doors" at the ends in both north and south shafts from the Queen's Chamber are equally distant from each other. That just all makes it more and more seem like somebody was trying to say something to somebody. At least in hindsight in the modern way and time.
What this all means, and to whom it might have been meant, that's all just another mystery here out of an almost infinite number of them.

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