The Pyramids and Coliseum for all victory conditions. From there it does depend on a few things more than just victory type. Too many wonders stop you building anything useful, and the above are indeed useful and often two of three or so wonders in total are good enough.
Pyramids are awesome but very hard to get. For whatever reasons, I rarely find myself needing the amenities from Coliseum that much, in fact I normally don't even built the Entertainment Complex till much later, which also holds me off from getting Coliseum. Temple of Artemis is often quite doable if you have a camp adjacent to your capital, and will also serve you some amenities without locking you on the district.
Oracle imo. is worth a shot, it's not easy to get, but it's possible. People may laugh at this, but if you play religion (as I do), Mahabodhi Temple can be pretty awesome. The two free Apostles is a massive up-front faith equivalent, and it also sits at a point in the game where I can often find the time to build a wonder. Depending on your opponents, it may or may not be contested, so possibly make an assessment beforehand if it's worth giving it a shot (don't bother if India is in game).
I agree Mausoleum is priority, even without a coastal city with many water resources, the extra engineer charges are great. It used to be very easy to get up to and including Immortal difficulty, not sure if it's changed. Petra (doable or hard to get depending on game) and Chichen Itza (usually very hard to get) can also be amazing and are definitely worth trying to rush, given the proper terrain.
