Big Ben [21]
Colosseum [14]
Forbidden City [27]
Kilwa Kisiwani [25]
Mausoleum at Halicarnassus [27]
Oracle [26]
Potala Palace [17]
Pyramids [28]
Temple of Artemis [16]
A comparison of the Colosseum and the Temple of Artemis:
The Colosseum provides +2 Amenities and +2 Culture for every City in a 6 tile radius. Theoretically, excluding islands etc., this caps out at 9 cities. Realistically, I reckon I probably average around 6-7, getting 9 is hard. I'll call it 6.5 for clarity. That's 13 Amenities and 13 Culture. Not bad.
The Temple of Artemis provides +1 Amenity for each Camp, Pasture, and Plantation in a 4 tile radius. I think this ends up typically providing me about 6 Amenities when I choose to build the ToA, so I'll call that 6 Amenities. It also provides +4 Food and +3 Housing. Also pretty good. The Food and Housing and Amenities really compliment each other here - this is tantamount to saying: this City gets one extra District, whereas the Colosseum doesn't give you the Housing or growth to do this necessarily. However... +12 Culture is probably better, in terms of raw impact. So, pound for pound, Colosseum is winning this one.
But... that's not all there is to a Wonder. What are the opportunity costs here? The Temple of Artemis is unlocked at Archery. This is a really key early tech that almost everyone should be picking up fairly quickly anyway. So, the Temple of Artemis isn't taking you out of the way at all. The Colosseum is unlocked at Games & Recreation. This isn't innately top priority, most of the things unlocked here aside from Colosseum are pretty useless. Everyone is obviously going to gun for Political Philosophy and extremely rarely deviate before this. You would go to Games & Recreation next, but if you're going for a Religious Victory you're heading for Theology next, and there's some advantage to picking up Military Tradition etc earlier if you're being militarily pressed and so on. However, the Colosseum gives you so much culture the deviation isn't so bad as you'll more than make up for it, and if you're desperately needing Military Tradition you probably aren't in a state to be building Wonders anyway. I think the Temple of Artemis is marginally more accessible here, if only because it's relevant in 5/5 Victory Conditions, whereas the Colosseum I don't often build during Religious Victories.
What about production costs? The Temple of Artemis is 180 Production. However, you do need a Camp to take advantage of it... but you probably were going to do this anyway to get the Inspiration for Craftsmanship, I don't think this is a real cost as you'd use that Builder that way regardless. The Colosseum is 400 Production. You also need an Arena. That's 150 Production. You then need the Entertainment Complex on top - the production for this is variable, but I find usually around 120ish Production by the time I would be usually building this.
Would I build an Arena +Entertainment Complex anyway? Absolutely not, +2 Amenity +1 Culture is tantamount to useless. An Amenity support 4 Citizens. A District requires 3 Citizens. So you're using up one of your District Slots (cost 3 citizens) to get 2 Amenity (gain 4 citizens)... except you don't even get the growth to push up to that 4th Citizen, you don't necessarily get the Housing, and you sunk a huge amount of Production to get there which a single Citizen will take an incredibly long time to pay off. I literally never build an Arena except to build the Colosseum. So I'd say net the Colosseum is costing 670-700 Production. That's a lot compared to other Wonders in the same era!
What are the hidden opportunity costs; or: how crucial is it you are building other stuff? Here, the Temple of Artemis is the loser because it has to compete with Settlers when you're so early in the game an extra Settler is really important. The Colosseum is only coming around when the map is more full and you have a few Cities which would take too long to produce Settlers and have other stuff to do. There's also another hidden cost to the Temple of Artemis: you can't harvest those resources or you lose the Amenities. That's missing a big part of the slingshot effect. The thing about the Colosseum is you can just delegate it to a City that doesn't have a huge amount else to be doing right now.
I think it's the latter point that pushes the Colosseum ahead. It's very expensive, yes, but raw costs aren't what matters, but relative costs compared to everything else going. The Temple of Artemis can sometimes be a trap early on - building a Settler which settles to a Luxury packs more of a punch, and by the time you have run out of these opportunities, the Temple of Artemis is almost gone. If you don't have enough room to Settle, then rather than building the Temple of Artemis, you'd be better off building Archers.
When do I tend to build the Temple of Artemis? I tend to build it when it's still hanging around surprisingly late, and I can chop it out in a few turns. Is this is a consistent strategy? No. I can't rely on the Temple of Artemis being around late. It's a really powerful additional bonus and I get excited in games where it happens, but I don't plan for it. When do I tend to build the Colosseum? To be honest, I'll always have a shot at it in any non-Religious Victory where I'm not really cramped for space or under imminent attack.
To me, that puts the Colosseum ahead.
Final discussion: AI. In my experience, the Temple of Artemis is usually left by the AI longer than the Colosseum. That's why I end up building it. As I set out above, I would never chase the Temple of Artemis if it was something really heavily contested, because it unlocks at the wrong point when I have other priorities. I am confident the AI gets the Colosseum closer to when it unlocks than they do the ToA to when it unlocks in the average game. The AI are very keen on Entertainment Complexes. However, as a player you can still normally beat them without too much difficulty because although they like to spam Entertainment Complexes, I don't think they beeline Games & Recreation particularly. I'm rarely worried about losing the Colosseum provided I head there in a timely fashion.
The only other Wonder I considered at the moment is the Potala Palace. I just think Diplomatic Policy cards are less useful than Economic. Most games I stick the extra Envoy points per turn card in, and occasionally jiggle in and out the "first Envoy counts as two" Policy by manipulating Civics techs. However, the Potala Palace just has staying power all game long as Diplo Policy cards update, whereas eventually the Culture from the Colosseum and Food from the ToA (as examples), just get left behind. I do think the choice for what goes next is now between these two, but it's a very even choice and I think good arguments to be made.