I generally consider Sun Tzu's worth it. It's costly, but fantastic for either offensive war or plain defence. Although it also depends on the map size. On a Tiny map, I'd probably take Knights Templar in preference to it. On a Huge one, Sun Tzu's.
It does, of course, depend when to build buildings. I'm a builder at heart, so I like to build quite a few. But, in general:
Temple: When a city is unhappy and I want it to grow. Particularly if I want it to be a Wonder city. Or when I need cultural expansion and either don't have Literature, or am Religious.
Colosseum: When I need happiness in a big city and am far from Cathedrals. More often in Wonder cities. Sometimes when I just want happier people for score. But generally, I prefer cathedrals.
Barracks: Basically whenever I plan to build a few military units per city. I guess there's a cutoff at which point I won't be able to produce enough units to make it worth it - maybe around 8 turns per unit for the standard unit of the time? But generally, I build these a lot during wars. Unless it's a designated catapult city.
Library: I like libararies. I'll start building them for science at as little as 4 beakers/turn. I also like to build them even with less science than that as a culture building, figuring the higher culture per maintenance and even a small science benefit likely outweighs the Temple.
Marketplace: If a city has 8 commerce/turn, these are looking fairly attractive. But generally later than libraries, since I try to run > 50% science. Unless my economy's a wreck, then earlier.
Courthouse: I find it's rare (except in the capital) that a courthouse really isn't worth it, since even if it saves 1 commerce it's paying for itself. But when to build it is a another question. If a city is 80%+ productive, a courthouse isn't going to be an early priority - once I have a bunch of other buildings and the city has grown enough that the lower corruption is noticeable, I'll build one. If it's 50% productive, I'll do so earlier. If it's 10% productive, anything I build is taking awhile, but courthouses do tend to be fairly early if I decide to develop the city.
Walls/Aqueduct: Obviously, as needed. Sometimes a bit pre-emptive with walls, of course.
Cathedral: When happiness is an issue. Mostly in larger towns, but smaller towns tend to become larger ones. I have a weakness for building the Sistine Chapel, so this is one of my favorite buildings.
University/Bank: A little tougher to decide on than marketplace/library. Generally if a city has 15 commerce/beakers after a library/marketplace, I'll build one.
Factory: My cutoff is 10 shields. Anything else and it takes forever to build and is of questionable worth. Plus, it's a nice round number as a cutoff.
Granary: It depends. If I have pottery early on, obviously it's nice. But if my cities are already size 4 or 5, and won't be above 6 for awhile, it's not really worth it. Similarly if they are size 9 or 10. I probably procrastinate on Pottery more than is ideal.
Harbor: Whether it affects if the city will grow or not. Might lay off for awhile if it's mostly coastal and I need the city to work hills to build up infrastructure. If it can grow to size 6 without one, it will unless I need a trade port or am building a naval invasion fleet and want better ships.
Offshore Platform/Commercial Dock: No hard and fast rule, but it I don't have a decent number of water tiles, it's not worth it. If I've got a ton (one-tile desert island) and not much corruption, it might be worth rushing (though it probably won't really matter that late in the game).
SAM Missile Battery: Not sure I've ever seen these be worthwhile. I'd rather have fighters or, if need be, FLAK. Similarly, City Defence (the late-game defence building) is almost never worth it, and I only build Coastal Fortresses for fun.
Nuclear Plant: Assuming I already have a Coal, Hydro, or (more rarely) solar plant, only if I want a production champion of a city, and more rarely if it's a free Hydro plant. Similar for Manufacturing plants. But one-turn-modern armor cities are pretty awesome.
Mass Transit/Recycling Center: Probably about 3 pollution saved makes it worth it. Maybe 2. Cleaning up pollution is no fun and I usually have adequate gold by then anyways.
But it really depends as to what order. What traits you have, what shape your economy is in, whether you've got an aggressive leader like Gandhi or Montezuma next door or all friendly neighbors.