While most buildings and Wonders aren't hurting you if you do build them, its not likely that you actually need most of them. If you're hell-bent on building everything available you're almost certainly building too few units.
Other than that, Wealth is always a viable option. Not because you would have any use for infinite amounts of money, but because that income could finance your research on a higher setting (a bigger portion of your total commerce output). But also building Research or Culture can be a good option, albeit situational.
What to do with all those units you build then? Well, the game is really about diplomacy and dominance, so you use your armies as a means to an end. Note that "dominance" don't have to be about military occupation - it could just as well be about economic or scientific superiority. If you don't have the troops to back up your words, the AI isn't gonna take note of what you say or do.
The game isn't about peaceful empire building, even if you could play it this way also. I you wanna have access to all the options at your disposal, then a war of aggression - or a preemptive strike - should be on the table. Its about recognizing the opportunities and about exploiting them. Just building stuff in your cities don't give you any more options, at least. Mostly you're just wasting your resources - if you don't fully understand what good (if any) those things will do.
