I was a shaky monarch player until I stopped building wonders, and now I'm moving on to deity. Wonders are evil.
Only wonders I consider getting are SoZ, ToE and Hoover, UN if going diplomatic.
Some of the big research ones if I know I'll go space.
Though I think it must be fun to play a jackass Artemis 100k cultural ICS, I've never tried it; As for the other 'good' wonders, aka pyramids, sun tzu, leo and smith: they do the exact same effect when you capture them
I dislike bach and sistine a lot because captured luxuries are more productive then a wonder, in most cases, because you get several and can fetch a price all game long with 'em.
Basically, SoZ is worth it, and before you have a tremendous lead and are sure you are alone at the run, the others are never to be built but to be captured, imo. I'd never build Newton's or Coper (which are pretty good at what they do, when you have a long term plan that uses them) if I'm not 2 techs (Edu + Astro or Physics + Grav) ahead.