Stonehenge vs. No Stonehenge.
Stonehenge is a great wonder. It provides a ton of advantages. It also gets snapped up extremely early because the AI knows it's a good early wonder too.
That means Sis will need to build the 'Henge before pretty much anything else and will only get to have at most 1 other city before building the Wonder. That severely limits the possibilities of an early rush for conquest or for Settler based expansion.
If there are no worthwhile paths to expansion (i.e. no neighbors worth crushing AND no juicy settlement spots screaming out to be taken), then Stonehenge could be worthwhile. If a target of opportunity presents itself, however... CRUSH THEM!
Seriously, the big question on whether to build Stonehenge depends on whether there is something better to spend the hammers on and that depends entirely on the game's start.
I think that a MUCH bigger question is what tech to go for first. The obvious tech to beline is Bronze Working so that you can get to rocking those AGG/CHA Axemen, but you'll also need worker techs to actually develop the empire you forge.
My suggestion: If you end up with one of those capitals that consists of 18 forests plus a calendar resource and a food resourse, tech to Bronze immediately because you'll need to chop out axes to get yourself a better capital ASAP (and you'll have a ton of forests to get those Axes). If you have a capital that is actually useful, then tech for a bit, grow your economy into something that won't collapse under a stiff breeze and then head out for conquest with Axes, Swords and whatever other toys you have lying around.