There are a number of reason to study them.
The pyramids are a time capsule of another culture and another time. That would be reason enough to study them. The treasures, the art, and the language/hieroglyphics can tell us much about how they lived.
There is reason to believe the pyramids had some sort of spiritual our astronomical significance since they are laid out exactly like the constellation Orion. It's also a clue that Orion had special significance in their culture.
Because the pyramids were usually tombs, often containing a well preserved mummy, we can get actual scientific evidence about the state of their health. This could have crucial implications for the modern world when it comes to studying disease.
And we can't underestimate the technological curiosity of trying to figure out how these ancient civilizations constructed these gigantic structures without any kind of machine. Just figuring out how they moved those giant slabs of rocks is a very interesting question.... Hope that helps... : )
