As someone else here said, priority depends on situation. I.e. if you are playing on an archipelago, or find yourself on a smallish landmass, Lighthouse and Magellan's become very valuable. If you plan on having a large empire (not necessary to win the game, BTW), Pyramids, Mike's, Leonardo's, Bach's, Hoover Dam, and other "global" (affecting all cities) wonders can be important or even crucial. If you plan on being aggressive, Sun Tzu's (all units veteran) is a must for you. Democracies need Shakespeare (in a high production coastal city, to support as many offensive and naval units as possible without unhappiness) and Suffrage (for additional "unhappy" units), and the UN is helpful for countering the Senate. If you have a particularly high-trade city (on a river or coast, with some trade specials), I'd also recommend the Colossus, Copernicus, and Newton for that city to turn it into a research powerhouse.
And of course, if you want to build LOTS of wonders, build King Richard's in a populous and high-production city--it gives you an industrial-strength city before anyone else can build factories!
BTW, Leonardo's is ALWAYS a priority for me, whether I'm large or small--just to keep the AI from getting it! And I won't build the Manhattan Project unless someone else starts to, or until the game is about to end (timed for completion a year before my spaceship lands), purely for the points--I like to keep the nuclear can of worms shut as long as possible!
[This message has been edited by allan (edited August 05, 2001).]