The fancifully-named "djinn blocks" are located on the road to the Siq (Bab as-Siq, in Arabic, usually mis-rendered in English as "The Entrance to the Siq"). A djinn is an Arabic spirit, but these imposing blocks - they are well over a person's height - are actually funerary monuments. For example, the middle one in this photo has two shaft graves inside of it. The photo looks east, back along the road towards the entrance gate.
Do not confuse these "djinn blocks" with "god blocks" (baetyls), which are different things entirely; baetyls are worship stones that represent a god.