Angkor Wat is a temple complex, not a single temple, so we can treat it like a city name. We could also say "the Angkor Wat temple", although I think that would tend to be the way tourists that don't understand that Angkor Wat is actually many temples would refer to it.
The Khufu Pyramid is a singular thing because even though there is a "complex" of buildings around the pyramid, those buildings aren't "great pyramids". The great pyramid itself is what people are thinking of when they refer to that place, so we use the definite article.
There is no clear cut rule however, which makes it difficult to explain why we choose to use the definite article in some cases and leave it off in others. There is some advice in this BBC article "The with place names: rules and exceptions". The article says
When it comes to buildings, it is more difficult to see a pattern emerging. It is more a case of Learn It.