Whenever possible, I have an Ancient Age war. It's how I get my wonders.
The last four games I played all had very good, decisive Ancient Age wars in them. This past game was especially good, as it was the first time I'd used catapults - a stack of 12 catapults along with two armies of swordsmen and maybe 8 odd veteran or elite swordsmen can go a long way. When the tech tree yielded the fruits of Feudalism and Engineering, I changed again - this time to Medieval Infantry and Trebuchets. Even with every city having at least three, if not six, Enkidu Warriors in them, I could take them out through patient bombardment and use of those armies.
Like I said, too, I rarely if ever build any wonders in the Ancient Age. Instead, I find the neighbor of mine who has built the most wonders, and I take them from him. I always seem to end up with the Pyramids with this tactic. Unless, of course, he builds the Statue of Zeus, in which case I leave him alone if I don't see a chance to take that city from him without much resistance.
It's much easier and simpler to build ten swordsman and take a wonder from your enemy than it is to build it yourself.