It depends a lot on the strategies you use (and the difficulty level too!). Here's my take (I often play with King difficulty, although I can handle Emperor if I want a tougher game):
Pyramids --> Doesn't expire and it lets your cities grow faster. I normally don't bother with granaries, and prefer to expand fast and worry about city improvements later, so I usually don't build it, since I don't particularly need my cities to grow fast in the first stages of the game (then I would have to build temples, etc, when I could be building lots of settlers and, when necessary, military units). Nice but not my top priority. I can understand other people liking it, though.
Hanging Gardens --> Not really a top priority with me (I'm more selective in the first part of the game, when resources are so precious and important to expand fast). Expires with Railroad, and it would be more interesting if it lasted longer. Would be more important at higher levels, when discontent becomes a real problem.
Colossus --> I usually didn't bother with it, but since I learned the SSC strategy, it becomes an important part of the development of that city. It expires, but it lasts long enough (till Flight). Very good one for SSC.
Lighthouse --> I don't bother with it, unless I'm isolated on a small island with no land in sight, to send colonists without losing the trirreme.
Great Library --> Worth it, unless you are far ahead in technology (and then you probably will win no matter what), or unless you can easily get technologies some other way. If you are not the strongest (and you don't have the ultra hostile AIs that came with Civ2 MGE) you can probably trade technologies. And if you are the strongest then you can probably get them through conquest or stealing. So, very nice one, but I don't find it as extremely necessary as I used to. It lasts till Electricity, which is reasonable. In Civ1 it expired much earlier.
Oracle --> I don't bother with it, but like Hanging Gardens it depends on your strategy and the difficulty setting. It expires sooner than I would have liked (Theology).
Great Wall --> Since it only doubles your defensive strength against barbarians (I usually don't play with strong barbarians) and expires relatively early (with Metallurgy) I wouldn't bother, unless you have a particularly troublesome neighbor and you really need to get them to sign peace agreements to give you time to improve your defenses. (When that happens, you can also bribe them with money or knowledge.) With hostile AIs it would be a bit more valuable.
Sun Tzu's War Academy --> Not bad. It doesn't expire until Mobile warfare and having veteran units is very important for combat. I really dislike building lots of barracks, and I usually don't, so this would be an alternative. Also, I prefer to conquer through bribing enemy cities, so it would be more important for a player who fights a lot. Very nice, but not essential.
King Richard's Crusade --> Like the Colossus, very important for SSC, to get it to build wonders quickly. I wouldn't bother when I don't use the SSC tactic. Expires with Industrialisation, sooner than I would have liked but still good enough to make it valuable.
Marco Polo's Embassy --> Not absolutely necessary, but I appreciate it much more than I used to. The important thing is that it gives you access to other civs so that you can trade technologies with them. If you have MGE's hostile AIs it's not worth it, though. If you have Great library that's not as important.
Michelangelo's Chapel --> Really important. Doesn't expire, and you save a lot of resources and upkeep by not having to build cathedrals in every city. Build it.
Copernicus' Observatory --> Really important for SSC. Not as important otherwise. Doesn't expire.
Magellan's Expedition --> Not important for me. I usually don't pay much attention to seas, unless when I really need to. Doesn't expire.
Shakespeare's Theatre --> Really important for SSC. Not as important otherwise, although it's kind of nice to have a big city to make lots of military units if you need to wage a limited war in democracy. Doesn't expire.
Leonardo's Workshop --> Really nice, to save a lot of time and resources to update your military units, particularly if you have a big civilization. Till Automobile.
All the rest never expire:
J. S. Bach's Cathedral --> Really important, like Michelangelo's Chapel. A cathedral makes more citizens content, but you can't duplicate the effect of this wonder. Only affects cities in the same continent, so be careful with that. Obviously it's not as useful if there are no big continents.
Isaac Newton's College --> Like the Observatory, it's really important for SSC. Not as important otherwise.
Adam Smith's Trading Co. --> Very nice for a large civilization. Saves lots of money.
Darwin's Voyage --> Nice, of course, but not absolutely necessary. You can normally get your techs in other ways.
Statue of Liberty --> It's a pity you don't get access to this one sooner, because getting all governments earlier would be very good. More useful if you like changing governments often, of course, like people who change from democracy to fundamentalism when they go to war. Me, I prefer democracy, to generate lots of cash and science. With money, you can fight effectively even in democracy. Avoiding anarchy when you change government or when your democracy falls is cool too.
Eiffel Tower --> Nice, but not essential. Depends on how much you care about what other civs think of you.
Women's Suffrage --> Very good for democracies (or republics), to relax the penalties for military units outside the city. By this stage, you often can afford to build wonders easily, so go for it. If you prefer other governments you don't need it that much, obviously.
Hoover Dam --> Very good if you build lots of factories. I normally don't bother with many factories, because by this time my empire is usually quite big and I don't really need it. If you are not clearly dominant at this stage it's really worth it, though.
Manhattan Project --> Don't like building this. If I'm dominant I don't need nukes, and if I'm not... well, let's say the AIs are often a bit free about using nukes against you if they don't like you.
United Nations --> Very nice. By this stage I can easily build wonders, and this is a good one. Embassies plus forcing other civs to sign peace.
Apollo Program --> It doesn't matter who builds it, and it starts the space race. If you are at an advantage and you want to win by spaceship, you need to build it yourself.
SETI Program --> Really good to speed science in the last part of the game. Of course, there are not many technologies left at that stage, but there are some. Very nice for discovering them fast without a lot of expense in research centers.
Cure for Cancer --> Like Hanging gardens but without expiring. Nice. I usually build it (but by this stage I'm usually dominant, so I can afford it). I imagine than in tougher difficulty settings it becomes more important, like all happiness-related wonders.
Other takes:
http://apolyton.net/content.php/476-CIV-2-Wonders-of-the-World-RATING-FAQ-by-Radiospace
http://www.cheatbook.de/wfiles/civilizationiiwonders.htm
