I like to build my Wonders in mostly one city, especially early on, because it usually has the best production times. However, there are times to delegate the production of wonders. Macchu Picchu to a hillside city, Epics to the Cities which boast the most value, etc. It's usually best to keep all your Cultural Wonders in one city, esp since Hermitage and Broadcast Towers are such huge multipliers. The only exception is the Sydney Opera House, as that must be built in a coastal city. Wonders like Notre Dame, Taj Mahal, Pentagon really doesn't matter where you build them.
Also remember, if building wonders in a city near another civs border, be aware that your city has the possibility of being captured.