Regarding the Great Wall: let the map decide if you should build it or not.
Although I agree that it's a lot of hammers that could be used for a pile of immortals, it is outright *insane* if the conditions are right.
Example: if you have two neighbors on one side of you, and a psycho or very war-like personality on another (Monty, Izzy, Catherine, Brennus, etc.), run your first war against the civ you want to kill first, but let the unit-builder build. Then, while resting/building to take out the second civ, declare war against the psycho but don't advance against him/her. Let them throw troops into your territory and smash them as they arrive.
The number of GG points is nothing short of insane, particularly if you can get Monty to come at you with lots of unpromoted or poorly promoted archers and axemen (and even swordsmen). Sign a peace treaty, go smash the second civ, then when it's time to kill the warmonger, declare war and let him come at you for 10 turns or so.
You will have no need at all to upgrade immortals if you can produce units with 3 promotions without even using civics for xp. With the great wall and the right neighbor, Cyrus can crank out highly promoted units horrifically soon. Why spend tons of gold to upgrade immortals to cavalry when you can just make cavalry (or riflemen, or grenadiers, or whatever) for the low-low cost of the hammers you were going to spend to build the unit, anyway?
Like I said - it depends on the neighbor(s), but Cryus + Great Wall can be a sick, sick combo for mid-late game warfare.