Kilwa is usually excellent, but there are occasions when it's not that useful, e.g. you're going for a science victory but there's only 1 scientific city-state on the map. Similarly, the Colosseum is often great, but if your cities are spread out (on say an Archipelago map) you might not have a good spot for it. But I have a hard time thinking of a situation where the Pyramids or the Forbidden City wouldn't be useful.
Yes,it depends on what map you play in.I prefer to create game in huge lakes map,so there's 3 sci city-state on average.The 15% boost is peerless.In this game it gives +8 science(the other half comes from Geneva),which is equivalent to the sum of the bonus of Hypatia, Newton and Einstein!From another point of view,if you have 20 cities,it's equivalent to 3 addtional cities!
The Pyramids can be the second one.It's excellent but is too hard to take it(needs a very good start).And while it saves cogs,cogs can't directly transformed to science.If you choose Pyramids instead of Kilwa,you need to built more cities to get enough science.
Then follows the Forbidden City,great and easily to built.But still can't compared with Kilwa.Not any card can gives 15% boost.You may say International Space Agency,but that's after Democracy and at that time you don't need to worry about your slot.
The Colosseum is good too,it can be equivalent to a 10% yield increase for seven cities(if well planned).
For science victory,Kilwa>BigBen>Pyramids>Forbidden City>Oxford University>Bolshoi Theatre>Colosseum≈Mausoleum at Halicarnassus,and others are dispensable.