The wonder I almost always try to build if I have the resources is the SoZ. Relatively cheap wonder, the AC are extremely powerful combatants, and when they are obsolete you can disband them to recover the shield investment. Selective disbanding can keep you from wasting production in cities with inconvenient production totals, so they are "high-leverage" shields.
The wonder I like having the best is the Great Pyramids. Not only is it the most recognizable wonder, but the effects are timeless and dramatic. I don't build it without a leader, though, because I just can't afford that many shields that early in the game.
I don't like most of the late-game wonders. The Hoover Dam is about the last one I actually like.