Time to start earning those Arena Points again:

Riddle of the Sphinx - This is an Atari 2600 game that had pyramids and other things you'd find in the Egyptian desert.

Donkey Kong for Game Boy - One of the entire levels is a pyramid.

Seal of the Pharoah - Didn't Kiera say this 3DO game takes place inside a pyramid?

Stargate - The Super NES game based on the movie has pyramids.

Magic Carpet - This game was made for both PSX and 3DO and it has pyramids in it.

The Lost Vikings - Has a desert level in which you can see pyramids in the background.

Equinox - One of the bosses is a pyramid with an eyeball at the top.
Kairobi King