Selling humanity short
The two most commonly invoked examples are Stonehenge and the pyramids. This is despite the fact that we have some good ideas about how the pyramids were built, and that human ingenuity has overcome seemingly insurmountable odds many times throughout history, and only the undocumented wonders need outside help to build. Humans are very clever animals, we come up with solutions to all kinds of problems, why can't ancient people have been just as clever?
For example, watch this movie:
I showed that to some of my engineer friends, and they were floored by the creativity he showed. Two seemingly impossible challenges overcome with technology that was available 20,000 years ago. I still have to gawk at the simplicity and elegance of how he raised the pillars. If Wally Wallington can build Stonehenge with ancient technology, then why can't the ancient Celts? Why do they need help?
Another question that the alternative "theories" (read: uninformed conjectures) tend to pose is "why on earth would these people build these things?" I'll just ask a counter-question, "Why on earth did the Greeks build their temples? Why did the Sumerian build their Ziggurats? Why did the Romans build their magnificent monuments? Why did the catholics build their cathedrals? Why did the Moors build their mosques? Why do we build all the stuff that we build?" It would seem that building useless monuments (especially to religion) is a basic human drive, and that first question totally ignores it, just like they totally ignore human ingenuity.
The problem with these hypotheses is that they rely on the same "god of the gaps" arguments as creationism: we don't know how this work/how they did this, so it must have been ______ (insert implausible argument here). People are so afraid of gaps in knowledge that they can't say, "Well, we don't know right now, but we might know eventually. I'll hold off answering until we do, if we ever do." Instead the answer becomes something that defies logic, ignores Occam's razor, is completely untestable, and sells humanity short.
I understand the desire to believe, I myself used to be fascinated with these thoughts. But then I grew up and I learned about skepticism, the burden of proof, and the scientific method. These outlandish hypotheses, and others like them, are not only (almost certainly) wrong, but they deny ancient humanity one of our central traits: the ability to creatively solve difficult problems, in other words, our intelligence and ingenuity. Never doubt those two traits, because they are what makes us human.