Sun Tzu's works like Hoover's -- you get a free barracks with no upkeep in each city.
Which Wonders I go for depends a lot on whether I'm playing on an archipeligo, continents, or pangea. Sun Tzu's or the Pyramids aren't too useful on an archipeligo.
I play C3C, so if I'm playing warmonger and/or lacking resources, I'll go for Statue of Zeus and Knights Templar. I'll also tend to build Industrial and Modern Wonders, because by that point, I usually have plenty of shields to spare. But in the Ancient and Middle Ages, there's usually better ways to spend my shields. Maybe I'll go for Adam Smith, Leonardo's and/or the science wonders (Newton and Copernicus). But unless culture is an issue, better to let my neighbor build them and then take them from him.