It really depends on your strategy.
But if I'm on a religious path, the Oracle is a killer wonder to get first. A free tech, and it generates a great prophet -- thus allowing you to build a shrine for a major religion, or even found Christianity if you're early.
If I'm an organized civilization, the pyramid lets me access some high powered civics early on.
If I'm a philosophical civilization, I try to take advantage of the parthenon.
Otherwise, it's usually a matter of what I'm close to by the classical and medieval era. On the top half of the tree, I often end up building the great library, since it's such an all round great wonder for everyone. On the bottom half, I actually try to build the colossus, since it generates great merchants, which can make upgrade costs a non-issue.
I've won multiple games without an early game wonder at all. It's a question of what you're building instead of a wonder.