I think it depends on both the terrain around your city and the city states you have envoys in. In my first game as Rome, I have 6 envoys in two faith city states, with a holy site next to a two tile natural wonder, giving me +16 faith per turn from the district alone with the double faith adjacency bonus policy. In the same city, I have a triple mountain campus that gives me 3-6 science depending on whether I have the double science adjacency bonus card equipped. I currently have two industrial zone districts, each one next to three quarries/mines, giving +5 or +8 production in those cities depending on whether I equip the industrial zone extra bonus card (I have six envoys in an industrial city state), but I haven't made any more than that because I'm not sure its worth it in cities without mines/quarries).
I don't see any district that you want to have in every city, save for maybe your unique districts (districts are expensive, the cost decrease really helps). However, if you play your terrain right, your cities can really be specialized, which is one of the biggest changes from V that I've noticed so far.