You generally need a good reason to build a wonder and of course you may actually fail on the wonder.So usually anything else is safer.
As for wonders to build, I'll quote myself
T0: Colosseum (solves amenities)
T1: Pyramids (better builders), and Big Ben (double gold), Forbidden City (+1 wildcard), Kilwa Kisiwani (Large bonuses from the right CS's, Oxford (tech boost)
T2: Temple of Artemis (Great, but huge opportunity cost), St Basil's (Multipurpose cultural and production wonder), Great Library (Big Science/culture boost), Oracle (great people gambits), Bolshoi Theater (Culture boost), Effel Tower (Resort Spam, also must have for Australia/Mapuche)
Situationally Strong: Mt St.Michel (Mass relics!) Venetian Arsenal (some water maps), Casa de Contratación (Spread out empires), Apadana (Mostly China), Amundsen-Scott (late, but strong if you can actually build it.)
One city wonders (Petra, Chichen, Great Zimbabwe, Broadway, etc) can be good but the thing is the game still prefers city count so individual cities are just not as impactful as they were in previous games. I mean yes, you can have an amazing city for those wonders but it's not something you can always rely upon.
I'd also add maybe Jebel Barkal if you have no iron.
Honestly, if you're starting out and can't figure it out , I would only build the t0/t1 wonders. The ones I listed at t2 are good, but need to be part of a strategy and should be attempted only if you're already doing well. Attempting and failing them will be bad. I'd stay away from the situational/One City ones until you learn more. The rest of the wonders are not worth it in probably 90% of cases and you should pretend they don't exist as a number will just set you back.