I actually thought the Great Pyramid was in Cairo. Upon arriving there I realized that was such a misconception that a lot of us have about the pyramids. They are actually located in Giza, outside of Cairo.
It was surreal to see the oldest of the seven wonders of the ancient world. I didn't enter this one (I believe at the time that I went it was not possible to enter), but I did go inside another pyramid and it was definitely claustrophobic but a cool respite from the heat outside!