I voted for HG, but I will build either HG or Colossus, whichever is available first. (its usually Colossus because I like to put phalanx in my cities for defense (I usually play at Diety in MGE)).
GW and GL are worthless. The GW is a security blanket that goes away just when you need it the most, and the GL not only slows your research of important advances, it uses up resources better used elsewhere. Besides, if your using trade properly, you are in the tech lead and won't get much from the GL anyway. And Trade gives you MP, which lets you deal with all the civs in the game, thereby acting a broker for advances and improving your standing with the AI civs. LH is only important on a largely water world (and is not a high priority with the AI, so it can be build when nothing more important is required). You can usually pick up the Oracle on the way to Monotheism and mike's chapel. That leaves the pyramids, which the AI values because of its food imperative. So that makes the pyramids a good diversion to keep the AI busy while you go after HG and Col. I used to favor pyramids (in fact, in the earlier poll, I did vote for pyramids) But once I realized the power of growing cities with WLTL days, pyramids lost their attraction.