Regarding concrete, there are some significant issues in any large concrete structure an in fact many of these problems had to be solved to build the Grand Coolee Dam. Interestingly, there are no big reasons that the same solutions might not have been used in the pyramids as well.

The major evidence for use of concrete-like materials in the pyramids involves the fact that the sea-shells in the lime-stone-like material do not occur in the layers we see them occur in regarding natural limestone, and the fact that the crystaline structure seems to be a fast rather than a slow process.

The main arguments against are that seashells are typically not found intact in concrete mixtures, but this could be an argument for an atypical concrete or a concrete-like substance rather than typical concrete.

The major problems of building large concrete structures are thermal in nature-- concrete sets, and does so as an exothermic chemical reaction. Consequently, if you try to pour a large concrete structure at one time, what happens is that it heats up but the heat dissipates uneavenly so the form cracks. To solve this problem, the constructors of the Grand Coolee Dam would pour blocks which would be allowed to set and cool before the next block would be poured in place. This doesn't solve all drying problems (and it is unlikely that the center of the Grand Coolee Dam is dry), but it does solve the fundamental structural problems involved in setting the concrete.

The blocks of "limestone" in the Great Pyramids could represent a similar solution to the same problem. Poured in this way, the joints between the blocks would be extremely tight. Each block would be poured in place, and would be allowed to set and cool (though probably not completely dry) before new adjacent blocks would be poured.

Stonehenge is a different mater. It seems to me most likely given other monuments n the area that artificial hills, levers pivots, etc would have been used to position everything. Also Britain at that point had more trees (useful for rollers etc) than Egypt did.