There are World Wonders and National Wonders.
National Wonders are the ones that say "need X in all your cities, cost goes up for each city in your empire". Every civ can build one of each.
World Wonders are the ones that take a lot of hammers to build but don't have the "need X in all your cities" condition. Only one can be built in the world; if someone else beats you to it, you get gold to make up for the hammers invested.
Also, there are "Team Projects": the Apollo Project (needed to build spaceship parts) and the Manhattan Project (needed to build nukes). Every civ can build one of these as well, like a National Wonder.
And no, the tooltips don't tell you this. You just have to know. I think Unofficial Patch might fix this though (along with like 100 other omissions left by Firaxis).