I used to think that OOPArts (out-of-place artifacts) were indications of prehistoric civilisations, but then I learned that the vast majority of OOPArts are outright hoaxes, which was disappointing. The rest - such as the gold chain that one of my grandfather's mates supposedly dug out of a coal seam - are unverifiable. I didn't even hear that particular story until long after his passing, so I can't ask him for details.
As far as pyramids and other megalithic structures are concerned - I can tell you exactly how they were built: mounds of dirt. In the days before cranes, dirt was piled up around the construction site and massive stones pulled up a relatively shallow incline in order to bring them into position, after which the dirt was removed, and the stone slowly lowered into place. One team of archaeologists even replicated this method on a small scale to demonstrate how Egyptian obelisks were placed. Stonehenge would have been built in a similar manner; in a book I have titled The World's Last Mysteries, published in 1976, it is suggested that piles of logs were used, raised layer by layer until the lintels were brought up to the tops of the pillars.
Of course, none of that tells you who built them or why.
RE: Ask Hive: Do You Believe in Aliens?