Henges are the large stone circles and are used to travel to other henges and keystone sanctuaries. There are currently 4 henges. Henges must be discovered (clicked on once) before you may travel to them from another henge or keystone sanctuary.
Keystone sanctuaries are new from update 27 and must also be discovered like normal henges. They appear as (and also act as) ordinary sanctuaries, but if you hover over the Anch base you will get a paw icon.
There are currently 4 keystone sanctuaries.