This is my favorite pyramid design. Four puzzle pieces interlock into a 20-ball tetrahedron (or 3-sided pyramid). Assembly of this puzzle is very confusing. Even when you understand where the pieces go, you still have to figure out how to get them there. Assembly is only possible for pieces with a little bit of flex, as these plastic pieces have.
The final pyramid is very stable, must be pried apart. Made from 12mm diameter hollow spheres.
See http://home.comcast.net/~gibell/puzzles/IT/InterlockingTetra.html for hints and a solution page.
I have stiffened this version by increasing wall thickness.