The Hanging Gardens is one of the most underrated Wonders in the game. Big health boost, and an extra population point for each of your cities. It's like Insta-Grow, a Civ4 Chia Pet.
Pyramids is probably the best, but it's rare that I even try for it. I do like the idea of Pyramids + GE + rush Great Library. That does sound like a boost.
I also play lots of island maps with tons of coastal cities, so Great Lighthouse/Colossus is a combo I often shoot for. Hard to get both on Prince and above, though.
If I'm not industrious & have no stone or marble nearby, and know I can only shoot for one early wonder, it would be Stonehenge (if I'm non-Creative, and have no Calendar resources nearby) or the Parthenon (since I suck at managing GP's, it's nice to guarantee a steady stream early on.) Then, shoot for THG.