It's always amazed me about just how did they build the pyramids and the Sphinx's.
I don't know, so it must be aliens.
Alternatively, hard graft, levers and ramps. Read up on the subject and you'll see diagrams of how they could have done it. Pyramids in particular have these sloped corridors in them that are thought to be how they lifted the stones up for each constructed layer.
Edit: gah, ninja'd. That'll teach me to read the whole thread first. Read Dimple's post, it has a picture and everything.