For each wonder, I think, you need to ask yourself several questions as to its utility. The "allow a build" wonders like Apollo and Manhattan are different, of course - they aren't the same as other wonders. Disclaimer: I play SP only.
Do I need to build this wonder, or can I capture it?
Every wonder can be captured to provide its effects for the capturing power. The problem is, some wonders that CAN be captured probably SHOULD not be. The best example is the Colossus/Copernicus'/Isaac Newton's combination. It is possible to capture these wonders, but if they are not all in the Super Science City, you lose a great deal of their stacking effects. So building these should be a high priority if you intend to play with a Super Science City, since it is highly unlikely that the AI will build an SSC for you. Shakespeare's Theatre is also a wonder that you could capture, but you probably should not. It is much better for you to control which of your cities builds Shakespeare's Theatre, based on several factors. Count also in this must-build category wonders like Lighthouse, which you could capture but probably won't in the time frame that you to.
Does this wonder have a unique effect?
This really tends to matter more on how good the unique effect is rather than if the unique effect is that good. For example, you could avoid Women's Suffrage by building Police Stations in all your cities, so that's not a unique effect. The Eiffel Tower does have a unique effect - it's just not that good. However, there are key wonders with unique effects. J.S. Bach's Cathedral, for example, affects every city despite what it tells you, and makes two unhappy citizens content AFTER unhappiness from units in a Representative government is figured, the only global wonder to do so, and the only way to achieve this effect in the game. Adam Smith's Trading Company lets you get a lot of key improvements for 0 maintenance - again, there is no other way to do this.
If it doesn't have a unique effect, would it hurt too much to do it the non-wonder way?
This may sound like a different way of asking the question above, however, there is a slight difference. Each wonder that simulates improvements saves you gold and shields, for example. For example, Michelangelo's Chapel saves you 160 shields, 3 gold per turn, and most importantly, a key period of time in each city once you've built it. This is a good deal - 3 gold per turn, 160 shields, is a significant savings when you multiply it by number of cities. Contrast Pyramids, which saves you 60 shields per city (if you choose to build it - a Granary is not as necessary as a Cathedral), 1 gold per turn (0 with Adam Smith's) and a smaller amount of time for each city (again, assuming you want to build it in each city). Putting Granaries in each city you want them in isn't too harsh, while building Cathedrals in every city is significant. Statue of Liberty isn't unique (as long as one knows and uses the Oedo years) but for most people who prefer Democracy, it comes with the Democracy advance anyway, and so doesn't really improve on doing it with the wonder.
How soon does this wonder expire?
Obviously, you want to get your hands on the never-expires wonders first. But when you don't have that choice, always consider how soon the wonder expires, and the importance of the advance which expires it. Oracle, for example, has a great effect - but keeping it unexpired forces you to pass up J.S. Bach's Cathedral, a far more powerful wonder. Great Wall gives you a worthwhile improvement - who doesn't like City Walls? - but pops after Metallurgy, which arrives fairly soon. Contrast Marco Polo's Embassy, which arrives with Trade and doesn't go away until Communism - which lets you build United Nations as a substitute right away.
Does its effect increase the longer I've had it?
This sounds odd at first, but upon closer examination, most of the wonders' effects increase depending on the length of time you've possessed it. King Richard's Crusade gets you some amount of extra production, and the earlier you build it, the more turns of extra production you get, and therefore the more total shields you gain out of the wonder. SETI saves you 3 gold per city per turn, so the longer you have it, the more gold it's effectively saved for you (among other things, see above). If its effects multiply according to length, prioritize this one to be built first (if the effect is worth it). Happiness wonders fit here, too - building Hanging Gardens gives you a longer period where you can expand cities to a larger size and/or keep luxuries down in favour of science or tax.
Does this wonder fit only one style of play, or many?
Some wonders are overall useful. Most styles of play will benefit, for example, from Hoover Dam - 200 shields and 4 gold saved per turn in each city. However, some wonders only fit certain playing styles - for example, the Lighthouse only works well if you intend to play heavily naval in an archipelago for the unsinking triremes, and later, the veteran ironclads. If it fits many play styles, it's a good reason to build that wonder; if it only fits one, only consider that wonder if that happens to be your play style.
Wonders according to these criteria (+ represents a reason to build it, - represents a reason to leave it for later):
The Colossus
+Need to build the wonder
+Unique effect
+Expires late
+Effect increases with time
+Fits all play styles
The Lighthouse
+Need to build the wonder
+Unique effect
+A decent amount of time before expiring
-Effects do not increase with time
-Fits limited number of play styles
The Great Library
+Semi-unique effect
+Fits many play styles
+Effect increases with time
+Decent amount of time before expiring
-Not too difficult to obtain techs by trading instead of building this
-Can be captured
The Oracle
+Unique effect
+Fits many play styles
+Effect increases with time
-Not too difficult to keep happiness without this
-Can be captured
-Expires FAR too quickly (Only six techs between Mysticism and Theology!)
The Great Wall
+Semi-unique effect
+Fits many play styles
-Effect does not increase over time (City Walls maintenance = 0 anyway)
-Not too hard to build City Walls in key cities instead
-Not too hard to make peace otherwise instead
-Can be captured
-Expires a little on the fast side
The Hanging Gardens
+Unique effect
+Fits many play styles
+Effect increases over time
+Expires late (Pottery to Railroad)
-Can be captured
The Pyramids
+Fits many play styles
+Effect increases with time
+Never expires
-Can be captured
-Not difficult to build granaries instead
Sun Tzu's War Academy
+Fits many play styles
+Expires late
-Can be captured
-Building a few barracks not so hard
-Effect does not increase over time
Michelangelo's Chapel
+Fits many play styles
+Never expires
+Is a lot easier than building Cathedrals
+Effect increases with time
-Can be captured
Copernicus' Observatory
+Fits many play styles
+Unique effect
+Must build
+Never expires
+Effect increases with time
Marco Polo's Embassy
+Fits many play styles
+Easier than establishing embassies
+Expires late
+Effect increases with time (used correctly)
-Can be captured
Shakespeare's Theatre
+Fits many play styles
+Unique effect
+Never expires
+Must build
+Effect increases with time
Magellan's Expedition
+Fits many play styles
+Unique effect
+Never expires
-Can be captured
-Effect does not increase with time
King Richard's Crusade
+Unique effect
+Must build
+Effect increases with time
+Decent amount of time before expiry
-Fits fewer play styles
Statue of Liberty
+Semi-unique effect
+Never expires
-Can be captured
-Fits fewer play styles
-Not too hard to have a revolution instead
-Effect does not increase with time
Leonardo's Workshop
+Unique effect
+Decent amount of time before expiry
+Effect increases over time
+Fits many play styles
-Can be captured
J.S. Bach's Cathedral
+Unique effect
+Never expires
+Effect increases over time
+Fits many play styles
-Can be captured
Adam Smith's Trading Company
+Unique effect
+Never expires
+Effect increases over time
+Fits many play styles
-Can be captured
Eiffel Tower
+Never expires
-No actual effect
-Can be captured
-Has nothing to do with play style
-Not too difficult to not care about reputation instead of building this
Isaac Newton's College
+Unique effect
+Never expires
+Fits many play styles
+Must build
+Effect increases over time
Darwin's Voyage
+Unique effect
+Never expires
+Must build
+Fits many play styles
-Effect one time only
Hoover Dam
+Never expires
+Easier than building Hydro Plants
+Fits many play styles
+Effect increases over time
-Can be captured
United Nations
+A lot easier than waiting for the hawks
+Never expires
+Unique effect
+Invaluable to all Democracy users
-Can be captured
-Worthless for non-Dems
Women's Suffrage
+Easier than building Police Stations
+Never expires
+Effect increases over time
+Invaluable for Representatives
-Can be captured
-Worthless for non-Representatives
SETI Program
+Easier than building Research Labs
+Effect increases over time
+Never expires
-Can be captured
-Fits fewer play styles
Cure for Cancer
+Unique effect
+Effect increases over time
+Never expires
+Fits all play styles
-Can be captured
My top three? Colossus, Copernicus, Newton's. I'll be able to capture all the rest I want later on (though it's unlikely I'll fail to get MC and JSB).
-Sev
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