Even if there is intelligent life other than us in the Milky Way, I doubt they have visited earth. Why? well, why would they? If life is common in the universe, why would earth's civilization attract more attention than any other one? Unless they live within 60 light-years of Earth (or had a probe there) they wouldn't even know that our civilization has advanced past a hunter-gatherer society.
Also, the pyramid thing is total BS. The ancient Egyptians were more than capable of building structures like that. Heck, in the 19th century, some guy calculated that you would need just 20000 men working for 20 years to build the Great Pyramid using the technology of the day. That's well within the scope of possibility. And I'm not even going to touch on the total, absolute BS that all UFO/alien abduction stories are.....
To say that aliens have/are visiting Earth is a pretty extraordinary claim. Extraordinary claims require extraordinary proof. Considering that there is not one single artifact or piece of evidence found that can not possibly be explained away by the technology that the culture had at the time, it's very safe to say aliens have never visited Earth.