Each wonder depends on your personal strategy and the flow of the current game you are in.
Colossus: Good in an early, coastal city if there is nothing else to build and war is not imminant. Otherwise, building this prevents you from building Settlers and Workers who are more important early on.
Oracle: I'll build this if I have to switch from another wonder that someone else just completed. Frankly, I don't really know what this does. Something about a temple hike? Not really important to me.
Sun Tzu: In all three Civ games I have never wasted time building this wonder.
Great Library: Certainly not useful if you are ahead in Tech. If you are - forget this wonder and shoot for Education to make it obsolete asap. If you are behind, only build this if you know more than one or two other civs. Otherwise its not worth the trouble.
Leonardo's Workshop: Amazingly, this wonder was the most important in the game during Civ2. Now it is almost worthless. Since anyone can upgrade, it makes more sense to raise taxes after a landmark advance to upgrade rather than waste twenty or thirty turns building this wonder.
Lighthouse is important if you are on a map where there are no other civs. Unfortunately, by the time you've built your first Galley and circumnavigated your continent finding no suitable way to another continent, someone has usually built this wonder.
Magellan's: This is an "ok" wonder. I build it if there is nothing else to do.
Smith's Trade Company: This is a MUST wonder. At least it is for me. I will almost always drop everything to build this.
More later, as I cannot seem to remember the rest of the wonders now.