Considering that most fantasy is set in a Dark Age/Medieval era, what other historical settings would work well with a fantasy slant? Every culture has their mythos so you could play about with them all.
The most interesting thing in an Egyptian setting, of course, is axe-wielding men with dog heads. In loincloths. What else do you need? I always thought the dynasties were interesting - you could have plenty of fun with political intrigue and scheming.
But what do I know about Egyptian history? Well, I've always found this book helpful: