The advice on early wonders is interesting. I also forgo many of them but for different reasons.
For Regent games:
Pyramids - If I have the time at my capital I really like this wonder as it speeds up growth and, most importantly, never expires. I like all the wonders in the game which give free city improvements and don't expire - Pyramids, Sun Tzu War Academy, Smith's Trading Company, Internet and to a similar degree the Sisteen Chapel (this last one is like having a buy one get one free feature). I do not include the Temple of Artemis, explained below.
Colossus - This is an awesome wonder as it's cheap and lasts all the way to flight, by which time most games are over anyway. With the Market Place and Bank enhancements (which are free if you also go for Adam Smith's Trading) this can add 25gp per turn to your economy. Now that's what I call a city improvement.
Mausoleum of Mauslassis - Again, cheap and never expires. A really great way to grow your capital to size twelve and start making the colossus dollars really stack up.
Oracle - cheap and nasty, expires before you blink, gives you a false sense of happiness. Other civs tend to go for this one first.
Great Lighthouse - only really useful if stuck on an island with no hope of finding new land other than suicide runs. Was one of the best wonders in civ2 but sucks bananas in civ3.
Temple of Artemis - Initially euphoric, free temples is great for early expansion to make sure your boundaries munch up potential resources that might pop up. However, it costs way too much, will expire in the blink of an eye and is on a dead tech path.
Hanging Gardens - I don't think I've ever had this wonder in civ3, but it basically has the same flaws as the Oracle.
The Great Wall - Probably the suckiest wonder of them all. Huge cost, expires relatively quickly, the city improvement it gives is a free and cheap one anyway which makes itself redundant as soon as your town goes to size 7. Just plain yuk really. I think in civ2 you could build this wonder from the start which made it a bit more useful. Stuck at the end of the Ancient era it's just a pile of pants IMO.
The Statue of Zeus - Only an issue if you have Ivory (very rare in other words) and so if you have then go for it, what can be bad about getting 3/3/2 cavalry in the ancient era? Nothing. You also prevent another civ from getting it which will make a huge difference to the aggression of the AI civs.
Missing them all is certainly an option but both Colossus and Mausoleum are so cheap anyway that it almost feels like your making things harder for yourself by not having them, or at least one of them. I normally like to have at least one from Pyramids, colossus and Mausoleum, preferably two and all three is just awesome. You require good second cities though who can take over any population spamming and your capital should have plenty of Bonus Grassland and the ability to go to size 12 from the get-go to make them really worth it.