They are definitely not a "must have" for me. I've never built them in Civ III. Actually, I was always in the minority when it came to the Pyramids... I didn't like them in Civ II either (WLTKD handled my city growth just fine)... although Civ I was another story altogether.
The size 6/12 caps, to me, limit the usefulness of the Pyramids. Also, managing to beat the AI to them (I play on Monarch) is pretty tough - and would hamper my early expansion, which runs counter to the advantage granted by the Pyramids (more cities = more free granaries and growth). I'm a Great Library kinda guy, Colossus if I can, but the "must have" Wonders for me are:
Great Library
Sistine
Copernicus
Newton
-ALL Ind. and Modern Age Wonders
Very close to "must have" are:
Sun Tzu
Bach
Adam Smith
Usually, if I get the Library, I'm all set. The best thing that can happen in my games, generally, is that one of the AI's builds the Pyramids really early... wiping out the other AI's built up shields, while I, who beelined for Literature, switch to the Great Library and build it pratically uncontested.
-Arrian