The pyramids were built with a base rock and then faced with stone and finally marble (or so we are told). The Pyramid of Khephren is the only one of the three largest pyramids at Giza that has a portion of the facing stone still in place. You can see it in this picture at the very top.

The material used to make the pyramids was removed over the centuries and was used to build a number of other structures in Cairo. The Pharaohs' stone monuments lie not only in the pyramids, but also in numerous buildings in the City.