Their preferred wonders are The Stone Henge, The Hanging Gardens (so being built within first 50 turns if game begins in ancient era) and Temple of Artemis.
AI may be fond of The Pyramids as well. they like Jerbel Barkal and Apadana but not Petra.
Great Bath and Machu Picchu seem to be favorites among the AI crowd: always go fast, and always seems to be a competition to build them - I've seen Machu in progress in four out of nine AI Civ's in a single game, and I don't think I've ever seen that much competition for anything else.
I'm really, really torn about St Basil's. On the one hand, a little better coding would keep the AI from building 'useless' Wonders or 'mis-placing' Wonders where they aren't worth the Production that goes into them.
On the other hand, neither St Basil's Cathedral nor Moscow IRL are anywhere near Tundra, so it's a Wonder with 'fake' effects in the first place.
On yet a Third Hand, St Basil's is close to being a "Russia Specific" Wonder, because Russia is the one Civ (at least that I've played) that is 90% guaranteed to start in the middle of, or at least on or near, Tundra in every single game. Canada now appears to be close to that percentage of Tundra starts, but I haven't played Canada or had it in enough games to confirm.
Give St Basil's a Tundra tile placement requirement, though, and you may be making it a Wonder that is largely limited to Russia, Canada, or Sweden when Christina is looking to settle as many different terrain types as possible - but if Sweden doesn't get a Tundra city early, it will be hard put to match the production in a Near Start of Game Russian or Canadian metropolis by the Renaissance Era when St Basil's becomes available.