Why would you want an early Great Artist? Any other great person, and I could see early application. But a great artist?!? How could one early great artist posisbly be worth the hammer cost of the parthenon?
Even if you still want a great artist early, you're probably better off getting to literature and drama ASAP and building the national epic and maybe a theater.
Your original question is just silly when asked on its own without context or long-term goals. But, if you are intent on producing a great artist, then you could probably build the oracle to grab alphabet. After alphabet, either drama or literature are comparatively quick techs which open up the opportunity for GA points. I don't see how pyramids would fit in with anything you've described so far. I would seriously recomend against the parthenon unless you find yourself with nearby marble and a desire to run specialists across multiple cities for most of the early game. You appear to have a severe case of wonder-itis. Don't build them just for the hell of it. Build them because they are an integral part of your strategy. If you can't decide how a wonder fits into your strategy, don't build it!
And one last thing... How can you possibly compare the oracle and the pyramids? One is a huge investment. The other is quite reasonable with just a few additional chops. One can be built in any city with nearby trees. The other, absent stone, must certainly be built in your capital. One gives a one-time only bonus upon completion. The other has a lasting effect throughout the game for whoever owns it. Honestly, you could scarcely ask for a comparison of two more disparate things.