NOTE: All the wonder name's are in initial form, please consult any relevent reference for the full names.
All the wonders of the Middle Age should be something that we should be aiming for. The priorities should be SZ'sAoW, SC and LW. CO and NU would be nice to have in one city, if that is possible. JSB'sC, ST in the capital to maximise the capital's happiness, would be nice to have for happiness alone. MV would be good for when we need to overtake the other continent. Finally is there is AS'sTC. This is another good wonder because it will help our bank balance. so here is a list that I have made up.
Essential. SZ'sAoW,SC and LW.
Not Essential but very good. MV, AS'sTC, JSB'sC.
Not essential but still good. CO, NU and ST.