I have built every wonder before, back on Prince when it made sense to actually open trees just for the wonder for some reason. On multiplayer, I have never built any of the cultural wonders or forbidden palace, although the palace is much better than it may seem because of the early world religion etc. I imagine if going futurism, some of the spawning cultural wonders like globe theater, uffizi, or even the louvre are pretty good, and in single player they're amazing if you're going for tourism win, but in the majority of multi strats they really don't make any sense.
Angkor Wat I think is a little bit underrated, but only because some people call it the worst wonder in the game. It's fairly mediocre and doesn't usually make a huge difference, but it has the possibility to be nice for doing something like planting a defensive city and then buying out to somewhere to plant a citadel, but overall it tends to be just an engineer point to funnel hammers into. I don't think it's as terrible as people say, even with the opportunity cost, because typically there will be six turns somewhere to just sort of let it happen, after universities and before you have physics or printing press. I suppose you could fill those turns with crossbows, but if in a pretty safe position it's not an entire waste of hammers.
I think the Mausoleum is much worse, especially for the great merchant point, as is terracotta. Most of the modern wonders besides Hubble are pretty useless in multi, and autocracy tends to be underwhelming unless you've already been in a war for a long time, in which case of course Prora is excellent; it just rarely gets built because autocracy isn't great for the ideal science victory. Prora's one that doesn't get built even though it's wonderful, much like Neuschwanstein, just because there's never really an opportunity.