I guess it depends on how soon you want to start fighting...
If you're not interested in racing for victory there is a lot of available timings to attack and the further they are the more room you have to build a couple wonders. Also the difficulty level make it more or less likely to be able to do so.
Here are a couple that are good to get:
Pyramids
Statue of Zeus
Brandenburg
Notre Dame (better to capture it early though).
Either way, if you spend too much time making wonders for a domination victory you're doing it wrong.
As for natural wonder you'll want Mount Kilimanjaro, Fountain of Youth and Eldorado.