Growing up, I had been exposed to the idea that the construction of the Egyptian pyramids was some kind of marvel. The theory goes like this: ancient Egyptians did not have bulldozers, cranes, and power tools, so we don't know how they could possibly have been built. Some of the more wild theories claim that aliens helped them. Other theories involve complex pulleys and so forth. I have my own theory, but first I want to take an aside and mention something I find disturbing.

Modern humans consider ourselves to be the pinnacle of humanity. We consider ourselves to be smarter than our ancestors. So to be presented with evidence to the contrary -- that of an ancient people somehow figuring out how to build a pyramid -- leaves us insecure. Our scientists and historians can't be wrong about modern humans, you see. We must be the best in all history. We can't possibly be inferior to some barbaric (by today's standards) culture from thousands of years ago. That's why they come up with theories like aliens. Aliens from outer space must have helped them build the pyramids. Who knows? Maybe aliens did build them? I don't know. But I'm at least giving the ancient people more credit than the theorists are. I believe the pyramids were constructed by the ancient Egyptians, and I simply believe that they had some truly ingenious Egyptians helping them figure out how to construct them.

That said, it's still fun to speculate. The following is my process of how I speculate about things such as the existence of unicorns.

The first step is hearing something absurd, like the claim that the ancient Egyptians couldn't possibly have built the pyramids without help from aliens. Brainstorming alternatives to aliens, I speculated years ago that one of the ways the Egyptians might have been able to lug gigantic slabs of stone and brick around was to have used equally large beasts of burden. Maybe there were big dinosaurs around that they could use? Again, this is just part of the process. I'm not making any actual claims.

In the unicorn example, Step 1 would have been my idea that unicorns did exist alongside humans, due to the volume of unicorns mentioned throughout history and fiction and their relative plausibility.

After coming up with a reasonable hypothesis, I usually forget about it. Then, as I'm browsing around the Internet, I might find something that piques my interest. In this case, I found the following article: 10 Unlikely Simultaneous Historical Events. One of the sections explains that woolly mammoths were indeed still alive at the time the pyramids were being built. The article quickly adds that the mammoths were no where near the pyramids, of course, but nonetheless it caught my attention. Even if the pyramids weren't built with mammoths, there did exist some at the time some creatures that would have been large enough to be used as beasts of burden for building the pyramids.

In the unicorn example, Step 2 would have been when I encountered Pliny's description of the unicorn in Thomas Bulfinch's Age of Fable.

The final part in my process is when I find something that is more conclusive. In this case, it doesn't seem likely that that's what happened. But, it can't be entirely ruled out, yet. If I later find something that points to impossibly large creatures in ancient Egypt, then maybe I will revisit this hypothesis. Or, I might find something that points to trade between the two regions at the time. Or, I might find nothing. I don't usually go out of my way for information like this. Once I encounter something else, then I'll look into it further. For now, it's just a hypothesis with 2 out of 3 parts needed for me to start looking for more evidence.

In the unicorn example, Step 3 would have been when I found out about the Siberian Unicorn and that it existed alongside humans.

Basically, all of my guesses are fuzzy. There is a process to how I make connections between things, and for the example of the pyramids and beasts of burden, I don't have enough connections yet to make a claim about it. But the process is fun, and the conclusions I reach when it all comes together are even more fun.