I just finished a game where I really took a great notice. I don't normally build the pyramids, but I beelined it quickly, after my National College (went directly Library -> NC after Writing). I was playing Egypt, and thought it might be interesting to give it a shot.
It worked surprisingly well, especially early game. I always play Epic (and perhaps this makes a major difference) but improvement completion felt significantly faster and made a noticeable difference. I didn't REX either. I felt early roading was significantly faster, saving that dreadful maintenance cost (before the trade-route itself compensates) which can hurt early game, when +3 is a big difference. But more importantly I was able to quickly benefit from earlier luxuries, multiplied and sold.
The result was far more gold, far more earlier. Which meant I grabbed the right city states earlier and use my money that much quicker and gain the benefits that much earlier. I really think this is where the Pyramids shine, especially if you have the right resources that the right civs are paying for.