Actually it's pretty likely that the pyramids in Giza are around for precisely the opposite reason he's asserting here.
Firstly, there's no evidence that Hebrew slaves built the pyramids. In fact the Biblical 'evidence' for this assertion is massively suspect and unsupported by archaeological evidence. Moses isn't even considered to be a real person anymore, at most he may be an amalgamation of traits from certain leaders well before the time period he is supposed to come from.
Moses, the exodus as described in the bible, and the modern assertion that Jewish slaves built the pyramids are all unsupported by fact. http://en.wikipedia.org/wiki/The_Exodus The bible isn't even clear on which Pharaoh was oppressing them, wouldn't that be something that Moses, who was supposedly raised by him would know? Not to mention the entire culture which was supposedly oppressed by that Pharaoh, they wouldn't remember that either?
The idea that slaves built the pyramids actually started with Greek misconceptions upon seeing their enormous size, and that specific claim doesn't even appear in the bible. Sadly, Louis CK's sources for this information boil down to modern myths and soundbites from Charlton Heston. Which would be okay if he didn't present it as fact without looking it up, just look at the comments here already "the ability to point out the things we all know but are either afraid to admit or have never realized we knew."
Actually archaeologists have evidence to support that the people who made the pyramids where payed not only with food and lodging, (Which was considered pay in ancient cultures) but also received a salary. Also it's likely that people who owed taxes could work off their tax debt by working on the pyramids, but also received food and lodging for their work.
Meaning in fact that building the pyramids was a VERY good job in it's day and age. Even now, can you imagine working off a debt for someone who also pays for your food and lodging while you work?
Moses is a myth, and so is the idea the all the greatest things humanity has created has been a product of slavery and suffering. While slavery is a large part of humanities history (and tragically part of our present condition as well), and I appreciate a comedian's performance isn't and shouldn't be bound by accuracy... His ideas here about the building of the pyramids are tragically wrong and could be cleared up with 5-10 minuets reading Wikipedia or a simple google search. (for instance this comes up as the FIRST result for the query "did the jews build the pyramids" http://skeptoid.com/episodes/4191
The question asked now by archaeologists and historians now isn't how the Egyptians built the Pyramids, but how the pyramids built Egypt. It's likely they got created, and created so quickly, for exactly the OPPOSITE reason he's asserting here.
Think about it this way, North Korea has one of the largest standing armies in the world. Even the slightest criticism of the Kims leadership gets you and 3 generations of your family sent to labor camps. That's pretty damn indistinguishable from slavery. Yet defense contractors who maintain much smaller populations of employees, paying them well, giving them and their families health insurance, and in general making sure their needs are met... Out perform, by leaps and bounds, the technological advancements made in weapons in North Korea.
Not only is this sloppy writing on his part... (I once read any good author reads 10 sentences for every one they writes.) But it's also frustrating because I know this solidifies this tragic myth in the perception of the public, because it's funny and he's popular and entertaining; while actual historians have to work much harder to tear it down with actual facts and empirical evidence... because they're stodgy and boring.