There are currently three different types in the game:
Are spawned in Deserts. These are solid and have no entrance. The entire interior is solid brick.
Can be spawned by the Player, using the Brick Builds menu.
Are spawned in Deserts. They have a treasure room on the top floor consisting of an Item Chest and two Treasure Chests. Skeletons are sometimes spawned inside these pyramids, "protecting" the treasure.