As soon as you saw Stonehenge on this list, you probably knew that the Great Pyramid of Giza was coming! Because the Egyptian pyramids are such a popular tourist destination, we've all just accepted that they exist, and stopped asking how.
For more than 3,800 years, this was the tallest structure in the world. The record survived that long because the construction tools needed to build something this large simply didn't exist. Despite all the theories, we still don't know how they did it.