Immortal / Epic
-Always
National Epic – I don’t see how some people don’t build this, but it may be possible if you’re not crazy about mid game great people.
Heroic Epic – If you don’t build this and don’t continue to almost constantly build troops out of this city afterwards there is a 99% chance you suck at Civ
Oxford – Do I need to explain how important this is?
National Park - becomes super spy city, is usually a mediocore, cold lumbermill production city before this.
-Usually
Iron Works - I mostly build this for internet and maybe late wonder races.
Maoi – sometimes goes in seafood GPF, sometimes becomes part of a heavy production city
Wall St. – I almost always build this one. In my current game I am state property and may not, that’s the only reason it’s not on the 1st list.
Globe Theater – Have only done the drafting city once, but it ruled when I did it. After I switched out of nationalism (this was in a huge food city) I built wall St. and then had mad merchants. I am probably not utilizing this wonder well enough in most of my games.
-Sometimes*
West Point – I often have mad settled generals in my HE city so it seems pointless. Experience points get diminishing returns when they go high enough and this wonder is expensive.
Pyramids – Obvious game changer.
Great Library (probably I go for this most often) – Obvious game changer.
Great Lighthouse – Some say this is great for isolated starts. I don’t see that. It’s much better when you have foreign routes. Obviously this is not an appropriate wonder for all maps, but when you build it you can REX coastal to kingdom come. Make sure you reveal all the foreign coastal cities you can. Your open boarders will benefit you diplomatically and much more financially than your counterparts. Be ready for the everyone turns to mercantilism possibility – that really hurts, make sure you’re not only trade route dependent by then.
Great Wall – Great spy or 2 is a game changer – it can make the worst economies come back. Great for IMP leaders. The no barbs thing is pretty sweet too – if you establish choke points you don’t have to worry at all about your cities that aren’t near other civs. Neat wonder.
Oracle – My tendencies make me get COL often with this one. Just cause you found a religion doesn’t mean you should convert to it. Sending the free missionary to a sans religion civ's capital can often found religion tension for centuries to come. Really nice with ORG leaders. I like great prophet points too.
-Less than sometimes
Red Cross – kind of pointless but not entirely. If you leave a highly promoted unit unpromoted you can make it medic 1 easy. Could see it used if you have a late blooming production city with a military academy.
Stonehenge – Haven’t done this for a while. May be worth it with Sitting Bull or De Guelle if the map is OK with it.
Parthenon – helps out.
AP – usually beaten to it. Sometimes with a great engineer I’ll rush it. Really really nice with SPI but nice regardless.
Statue of Zeus – Great when I have ivory. Occasionally I'll go for it even if I don't. Good wonder that never goes obsolete.
Sistine Chapel – Mostly for culture victories.
University of Sankore – better with SPI and/or in AP religion and plans to stay in OR.
Swega Papaya – occasionally going to be worth going Free Religion on volatile religion map.
Spiral Miranet – did it once. Often don’t even go for divine right.
Rock & Roll – your civ is now much cooler.
UN – can be tricky. If you don’t have the biggest pop or are the most popular, sometimes it’s better to let someone else build it so you can destroy it if they do anything silly like ask for universal suffrage when you have many specialists.
Christo Redeemer – love it when I can get it.
Eifel Tower – Helps out. Broadcast towers are expensive.
Hollywood – money, resources with trading.
Pentagon – kick ass.
-Not as bad as some say it is but still not good enough to build
Chitchen Itza
-Awesome to take over
Versailles
-Never say never but never gonna happen
Temple of Artemitis – not saying it’s bad but I can’t be bothered.
Angor Wat - Can possibly see this with mids, SPI, AP. I think one time I built it as Saladin in a Maoi, heavy food, shrine city and it worked it out well. I don't bank on this happening again.
*I usually go for 1 or 2 ancient wonders, but they’re not always the same one. Rarely do I not build any, rarely do I build much more than this. Which one I build depends on the map, neighbors, leader traits, etc.
-Note that just because I don’t go for a wonder, doesn’t mean I think it is bad. Statue of Liberty is great but I’m usually teching and doing other things when someone else is teching and going for it. Kremlin can be amazing, but I am doing other things. Also, there are many wonders I used to go for but am constantly getting beaten to on immortal – namely the media wonders along electricity to mass media, I used to often get a monopoly on those and now I usually grab none, sometimes 1.
Though long time ago I used to like Pyramids precisely because of early happiness from Representation. Wonderspamming-Religionchasing strategy does not benefit from HR well 
