Khufu is a baboon—but not just any baboon. He hangs out with Amos and has no trouble talking to various gods (Thoth, Anubis, and Bast for starters). We never see Khufu doing any magic, but we suspect that he's pretty comfortable around supernatural stuff.
Not that Khufu actually talks in the strict sense of the word: most of his dialogue is some variation of a grunt or "agh!" For whatever reason, though, every magician and deity other than Sadie and Carter can understand what he's saying. Maybe the kids slept in the day they passed out baboon-decoder rings?
Khufu is also on a special diet. Amos characterizes him as picky, and says: "He only eats foods that end in –o. Doritos, burritos, flamingos" (6.72). Sounds yum-o!
When Carter and Sadie first meet Khufu, he's wearing a Lakers jersey. He wants to see if Carter's got game, but it's bad timing, since Julius has just disappeared. Khufu gets his chance, however, when the kids come to consult Thoth.
Khufu promises to take the kids to Thoth if Carter makes good on his pledge to play a round of basketball with him. However, both Khufu and the other baboons playing are disgusted with Carter's skills (or lack thereof): "The other baboons looked at Khufu. It was quite obvious what they were thinking: Who invited this human? Khufu covered his eyes in shame" (23.77).
Despite the fact that Carter turned out to be an embarrassment to the game of basketball, Khufu takes both Carter and Sadie to Thoth and sticks with them for a good chunk of their quest to defeat Set. We never do learn to translate baboon-speak in the book, but Carter is able to decipher one of Khufu's snorts with ease: "I'm going to play basketball by myself now. I will not invite you because your lack of skill would make me throw up" (26.38). Seems like baboons tend to be direct, especially when their favorite sport is involved.