It depends *entirely* on the leader (and somewhat on the lay of the land depending on the leader).
If it's a leader that demands a Cottage Economy (if it's a financial leader), then Oracle gets top priority and Pyramids are irrelevant.
If it's a leader that demands a Specialist Economy (if it's a philosophical, spiritual and/or industrious), then Pyramids gets top priority and Oracle is tried only in a non-main production city after Marble is hooked up, if at all.
If my lay of the land gives me a Production Economy (i.e. no good commerce, so commerce must be produced by producing military units and taking other people's land that has good commerce), then I probably won't go for any at all (although once Marble is hooked up, Oracle is tempting), since I'm busy building as many units as fast as possible.
The lay of the land and a few other things also dictate what sort of economy approach I will take, and the priority of these two wonders is directly correlated to the type of economy pursued.