Yeah, later on in the game I don't know what to tell you. It appears that you are not able to raze cities that were once capitols, however, and earlier on in the game I would think most wonders will be built in the capitol by the AI.
Another thing along the lines of what hunhau said - when you whup an AI to the point of a peace deal that includes cities - it would be nice to at least have map control right after you accept the deal. As it stands you get a series of pop-ups, one for each city in the deal, asking annex/puppet/raze. I guess it would pay to have some awareness of your opponent's cities beforehand, but still, a little map control would be nice. You still won't get to see the inside of the city, but at least a chance to see the location, resources, any possible wonders, etc... Am I missing something, or is this everyone's experience in this situation as well?