I've only seen the Coliseum from the outside, at night and through the rain; but it was still impressive. (The rest of our time in Rome, 36+ hours, was spent in a hotel preparing presentations and at the customer's site giving them: not at all historic.)
But I have been lucky enough to see Petra (stunning) and Egypt (various places between Cairo and Abu Simbel).
Apart from the history oozing from the stones, there's the huge scale of the sites (such as the three pyramids at Giza and the simply vast temple at Karnak); there are the massive carvings and statues. And most of all, there's the setting: the Nile flowing through rich farmland, barrent deserts close on either side**. It feels like a land of magic, even when you know how it came to be.
Truly a land of wonder.
My favourite site is Giza and, in particular, the Great Pyramid (that of Khufu). Even with its outer casing removed, I found it hard not to marvel at what comparatively few people, with simple tools, managed to create. Both impressive and (when inside) surprisingly intimate, it is - there is no doubt about it - a folly; and yet it's also a monument to the human desire - another folly, perhaps - to find its place in the universe, whatever the cost.
** - The transition to desert is abrupt, only ten or so metres as the grass gives way to sand and rock.