Mega Man 4 - Pharoah Man's stage is in a pyramid.

Crystalis - There's a pyramid in the Sahara Desert. Has nice music!

Super Mario Land - The first level's final stage is inside a pyramid.

Drakkhen - There's a pyramid in the desert to the south. (Think it's the final area to beat.)

Legend of Zelda: Ocarina of Time - You can sometimes see pyramids in the far background in the desert area. Although they said later they are just polygonal glitches, they still look like pyramids.
James's Paradise ResortKiera-Yin-Cat's Game PondDEATHAMSTER'S NEST

"No one can withstand the power of KAIN"