A megalithic structure is some thing big made of rock. It could be a statue, or just some rocks strewn around in a pattern. The truly mysterious thing about the ancients is, how were they able to create such enormous things? They did not have the technology needed to efficiently make them. Stonehenge is a good example. A bigger one is the Great Pyramid in Giza, or the pyramids themselves.
Sometimes, even their purpose is unclear (Stonehenge), while other times, the structures in question are mysterious and seemingly supernatural (the pyramids). A megalith (I know, sounds like something from Di-Gata Defenders), a giant rock, is used most of the time, especially in the case of Stonehenge and the Carnac stones. Still, there are a few mega lithic structures that are not mysterious (like Great Zimbabwe), but mostly it seems impossible that the ancients made these things themselves.
Now, many would like to think aliens helped them. Yet even scientists say queerer things. They suggest that there may have been a lost ancient civilization that was extremely advanced, and they may have given later civilizations the knowledge to build such things. Yet there is no substantial evidence of either. Other examples: Easter Island Heads, Pyramid of the Sun (in Mesoamerica), other pyramids in central and south America, Colossus of Rhodes.