The first great scene in Pyramids of Mars is the very first TARDIS scene that features a melancholy Doctor and a playful Sarah Jane - the latter, happy to be returning home; the former, unhappy that he has no other place to go. The Doctor even complains about him approaching middle age (lamenting with the fantastic line: "I'm a Time Lord. I walk in eternity."). The whole sequence plays out like The Doctor's midlife crisis occurring before our very eyes. You'd half expect him to set the TARDIS coordinates to materialize at the nearest Maserati dealership.
This scene is also a further attempt to break The Doctor, particularly the Fourth Doctor, away from the shackles of the UNIT era. The Third Doctor, after he was freed from his exile during Season Ten, would still find his way back to UNIT HQ as the environment seemed comfortable for him at the time. Showing the Fourth Doctor feeling decidedly against the notion of returning to UNIT is a deliberate move in the opposite direction for the programme. It would take the rest of Season 13 for the UNIT bug to be completely cleansed from The Doctor's system, but the divorce papers were being signed with that first TARDIS scene.
There's a good few other scenes that stick out in this episode: The Doctor's proclamation of something going wrong contrary to the laws of the universe ("I must find out what"), the mysterious Namin, obsessed with his haunting organ playing, and his eventual grisly demise at the hands of a dark servant of Sutekh who emerges from a time/space tunnel located in a mummy's sarcophagus. The stage is set for a classic story.