Jack O'Neill and Daniel Jackson are awed by the Abydos pyramid
Pyramids are structures, triangular in shape with a square base and usually made from stone. They appear to have been first created by the Goa'uld due to their use of the Ha'tak class ships. It is possible that they used the local population as slave labor to build these structures.
Function
The main function of a pyramid is that it is used as a landing site for the Goa'uld Ha'taks. Due to this, most pyramids were built with Transportation rings to allow transport between the planet and the ship. (Stargate) (SG1: "Double Jeopardy", "Off the Grid")
Another possible function is a place of worship. This is due to the Goa'uld making public appearances inside or outside of the pyramid. (Stargate) (SG1: "Moebius, Part 2", "The Ties That Bind")
Pyramids on Earth
When Dr. Daniel Jackson first proposed that the pyramids were alien landing pads, many people believed it to be simply a radical theory with no truth. As a result, he was ostracized from the scientific community. His theory was later proven right when he saw a pyramid used for his suggested purpose on the planet Abydos for the first time after traveling through the Stargate. (Stargate)
While living in ancient Egypt after the Tau'ri Rebellion, an alternate timeline Daniel, having spent three years amongst Egyptian culture, came up with a slightly different theory: this Daniel believed that the ancient Egyptians really did build the pyramids and the Goa'uld learned it from them. The Goa'uld weren't known to create technology but rather to borrow it from anyone they encountered. In this case, the Goa'uld borrowed pyramid building from the Tau'ri after conquering Earth. (SG1: "Moebius Squared")
Locations
There are many pyramids on Earth, most notably in Egypt and Mexico, and on some other planets, including Abydos and Amon Shek. (Stargate) (SG1: "Hathor", "Crystal Skull")