Hi Sam,
I'm not an archaeologist, and it's been a long time since I took anthropology courses in school, but I'll do my best to answer your question. The Pyramids of Egypt were not used to study the Sun or stars the way scientists would study them today. The Pyramids were built primarily to be the tombs of the pharaohs. I have heard about archaeologists who have tried to find alignments between the Pyramids at Giza and various astronomical bodies, but I recall that many of these theories are controversial and are not accepted by all archaeologists.
Even though the Pyramids were not built for the purpose of making astronomical observations, the Sun and stars were very important in the religion of ancient Egypt. Temples, like El Karnak in Luxor, were built to honor the Sun god Amon-Re. Some of these temples are believed to have special alignments with stars and other objects in the sky. If you would like to learn more, follow these links:
http://sunearthday.nasa.gov/2005/locations/elkarnak.htm
http://sunearthday.nasa.gov/2005/locations/egypt_stone.htm
http://sunearthday.nasa.gov/2005/locations/abusimbel.htm
Kris