I generally don't go for many wonders now. The higher difficulties it is just impossible. If I am super lucky I will get the Temple of Artemites and if I have ivory in the ancient age I'll try for Statue of Zues. I feel that these 2 wonders are worth the chance. I hate building improvements like temples/cathedrals/etc early in the game so the ToA is just a godsend. I got it in my current game somehow and within a couple of turns my cultural borders exploded all on the same turn, its so nice to have one large seemless empire so early in the game. Also, I like to concentrate on pumping out settlers/workers early on so the Statue of Zues is great for an early supply of military police or an invasion force.
In one of my recent games I was really lucky and got a scientific leader spawn the same turn I learned the tech that allows the Temple of Artemites and rushed that in a single turn and also completed the Oracle the same turn! That was just an amazingly lucky turn of events though. =)
There are a few later age wonders that I try to go for. Sun Zu's is one I always try for but its really a gamble. Having a barracks in every city is just amazing.. especially when you are invading, but also for mass unit build. The Knights Templar is nice also if you've managed to get the Statue of Zues because then you have a double production of free units, which is always good. SJ Bachs and Shakespears are also ones I try hard to get.
Basically the Wonders I really really go after are the ones that add an improvement I need to every city - Temple of Artemetis, Sun Zu, and even the Great Wall (its pretty cheap and I manage to get it sometimes). I also like the 2 unit popping ones of course, but also ones that will make happy citizens in my cities - hanging gardens is good, Temple of Artemites/Oracle is a great combo, and SJBach/Shakespear are both good. If I manage to get a few of those I'll be happy, otherwise I'll make an effort to capture the cities that have them with my horde of early archers or swordsment, mwhaha. =)