I definitely wonder about markets.
Lighthouses, it's pretty easy. Am I working seafood? As long as I'm not limited by my happy cap (ie. excess food already), I'll usually prioritize the lighthouse early. As TMIT noted, it has a pretty nice # of hammers for whipping.
The one time I have trouble deciding is when I have a seafood based capital. That means the lighthouse can usually net me 3 food, but I'll often grab sailing at a time that I'm spamming settlers, and any free building turns I have between whipping and hitting the happy cap (and thus likely returning to building settlers/workers) needs to be spent on warriors/chariots. More effort is needed then to figure out if whipping a lighthouse is better than whipping a library, for instance.
Harbours, I usually gain access to much later (even when I should beeline optics, I often neglect to, and that's another problem). At that point, if I'm having any health problems, if my trade routes are worth more than 3 commerce, or I think I'll want them and won't have spare hammers in a couple of techs, I'll build them. I mean, once OR and forges are in play, it seems easy to come up with what is it, 80 hammers?
Markets, that's a whole other kettle of fish. I see many good players building wealth once currency comes in. Usually I don't, but I'm not a very strong player.
Some factors:
- happy cap
- commerce output of city
- am I playing a dumb builder game (ie. should those hammers actually go into military?)
- do I have OR or forges to help the cause?
- will the city be able to run merchant specialists?
- do I have the pyramids? (yum yum rep merchants!)