On Archipelago, nothing beats Great Lighthouse!
Otherwise, I tend to avoid the Pyramids, since a bit of file corruption, caused by my sister's repeated visitation of Harry Potter fansites which include a myriad of movies, which contain viruses, which--well, you get the picture, I avoid the Pyramids because I play Random civs, and it always (well, almost always) picks the Egyptians, and I've gotten so used to them that I now play them regularly, and the Pyramids give me a way-too-early GA.
Otherwise, I go for either the Sistine Chapel (I build Cathedrals
everywhere, to the point where the maintanance puts a significant dent in the national income) or JS Bach's Cathedral (those two happy faces are great, and do not have an expiration date). Hoover Dam gives me guilt-free production and a Golden Age coupled with either the Sistine Chapel or JS Bach's Cathedral when I play as the Egyptians (about half the time, other than Conquests)--can't argue with that! And Smith's Trading Company...I mean, it's free money! It makes building Marketplaces, Banks, and Stock Exchanges worthwile in every city.
I always go for Theory of Evolution, to the point where I never trade Scientific Method until I am certain that I will get Theory of Evolution, and the Internet is great: speeds my research, and I get to deprive some puny, poor nation of their last shot at a Golden Age

(barring their going to war with their UU, of course).