The Egyptian kings had the pyramids built as their personal monuments. The kings reigned in a known sequence, and each pyramid had a burial chamber with indications of who was buried there.
I actually hypothesize that the stepped pyramid of Zosa was the last-built, not the first -- in an attempted emulation of what the Egyptians had already found there (they didn't quite cut it).
From a Smithsonian Institution site, here:
Tombs of early Egyptian kings were bench-shaped mounds called mastabas. Around 2780 B.C., King Djoser's architect, Imhotep, built the first pyramid by placing six mastabas, each smaller than the one beneath, in a stack to form a pyramid rising in steps. This Step Pyramid stands on the west bank of the Nile River at Sakkara near Memphis. Like later pyramids, it contains various rooms and passages, including the burial chamber of the king.