I recently played a couple of deity games(got late SV) and what I observed is that the pyramid is the easier one to get compared to colloseum. I managed to get it in one game while in the other I lost it out. I feel if I had some chops I could have got that too. As for colloseum it had gone by the time I had unlocked it in both games. In fact on a standard 8 player deity game you are unlikely to get colloseum and the pyramid is a safe bet. As for wonders in general I usually avoid building them in most of my games. While both are great wonders pyramids are better and probably one of the best if not the best wonder in the game. An extra builder charge means faster growth and less production and gold spent on workers. It just changes the game in a fundamental way. Also do not forget Royal Society and the ability to use it to speed up space projects. The percentage depends on builder charges. Again while pyramids are not the be all and end all of a game but if you have an opportunity to get it go for it.