Military: Big Ben
The only good Military wonder to build is Big Ben. Zeus, TC, and Alhambra require early investment that would be better spent on units of equivalent hammer value. Zeus is good to capture later. If you manage to build Alhambra before the AI, it's probably in a city that's only going to be producing wonders and not units for the rest of the game. Brandenburg there is less AI competition for, but still enough that you would rather be kicking out 3 extra cannons or frigates at this time.
Science: This is really flexible. Anything can be turned into science, namely food if you are tall, or happiness (so that you can work farms) if you are a wide empire. The best source of extra food on your start might turn out to be Petra. The "science wonders" will always be outperformed by a well-place early food or religion wonder (Borobudur being the best way for a wide empire to get Pagodas out in every city before Ren.).
Happiness: Eiffel, as it offers both raw smiles and ideology pressure protection if your tourism is weak, and is less situational/late than Prora/etc.