I don't know if it's a good idea to have a building that's genuinely annoying, which is how I feel about pyramids. I think there are too many mazes right next to each other. I don't mind a building being really really deep, and having a maze, then many branches, then a maze, etc. This way I can stop exploring when I want to. One maze right next to another is really overwhelming and discouraging IMO.
However, I also think the feel of the pyramids is off. It taps into the historical/fantasy concept of the pyramid (and the outside graphic is very evocative), without delivering on the premise. The insides are bright instead of being suffocatingly dark. There should be tons of traps (which the game doesn't really have at the moment). Enemies should be strong, plentiful, and preferably scary (mummies, ghosts would be best). If the pyramid is this great place to raid, but additionally one that may very well kill you, I think that really balances out the risk vs reward.
Also, going deeper into the pyramid could offer you greater rewards (of some sort) but at the cost of facing a higher tier of enemies -- much like the caves.