Very early in the game, i start by building all settlers. A little ways into the game, half of the cities are producing settlers, and i set the rest to built 2 offencive units, one defensive unit, and a worker; respectively. From there i try to build a temple for the cultural expansion. The temple is most handy during or after wartime. After i capture another civ's city and the cultural value drops, i have to reclaim the land before other civs "fill up the cracks".
As far as the first wonder, i used to go for anything i could (colossus and pyramids took priority), but now i go straight towards the great library. Sometimes i debate if the loss of the pyramids, colossus, hanging gardens, and great lighthouse are worth the short term effects of the great library.