I always try to go for a combination cultural/Military victory so I do my damndest to go for all the following wonders. I started off playing on the originally king to monarch level. The second to highest and second to second to highest levels. I find that building the wonders is essential to staying ahead of the AI because it never seems you are able to stay ahead without them. The AI cheats like a mofo and I had it proved to me just recently that the AI trades like hell with itself which is why once one AI gets alittle ahead they all start researching everything possible to get ahead of you in research. I had a situation where the Romans, Iroqoius, Aztecs and Carthaginians were all on one continent. Suddenly I got contacted by the Spainish and she wanted horses which i gave her for 4 advances I hadn't researched yet. Then suddenly I was deluged by contacts all in the same turn from Germany, Frances, and all the others on my continent all asking for deals. Then suddenly I was checking on my local opponents and noticed one person had a tech ahead, then some else had a different tech ahead of me. then a turn later they were all 3 techs ahead. I was like !@#$@@#$ I had been seriously wonder building.
My favorites on the higher levels are
1. The Pyramids: Essential to quick expansion cause the computer will take what you can't and I find the number of cities essential to bringing in more revenue and commerce. Saves you money on building granaries in your cities.
2. The Great Library: triple essential because this allows you a bit of time to switch governments as soon as its built. Because as I stated before the computer will be doing everything and then some to beat you in tech. This gives you time to finish all the neccesary techs and advance to the next age.
3. The Oracle: As stated by others anything which makes your pop happier longer is good + if your going for Cultural score it helps.
4. The Colossus: very important thanks to the increased commerce your own research efforts are boosted significantly for the time being.
5. The Great Lighthouse following the same ideas of expansion and exploration. If you can sell contacts with all the other civs to the others its worth alot of gold.
6. Hanging Gardens: Excellent to build in your primary wonder building city because nothing kills you faster then your population rebelling. this is definitely not the most important but a substitute if some bastard gets The Oracle before you.
7. Sun Tzus Art of War a MUST!! Why?? because of veteran units and it saves you boatloads of money on barracks.
8. Sistine Chapel: Same as the Oracle don't let your enemies get this one.
A fun tip make the great libraries effects last so hold off researching Education till you need to which you do. because you can get your enemies to research and give you engineering and invention usually thats all you can get.
9. Coperniucs Observatory: after the SC tear ass to this wonder as ANYTHING which improves science output is absolutely essential.
10. Newtons University: Same effect as the CO don't let your enemy get this one as the Cultural boost is even higher.
11. Smiths Trading company: A HUGE WONDER I don't hear people mentioning much because it pays ALL the maintence for Marketplace, Banks, Harbors and Airports and i think the new improvements, Commercial docks and stock exchanges.
All meaning one primary thing MORE MONEY = More Research= More units for conquering = Higher Tech attack units = Getting to more wonders first.
12. Military academy if you can swing it the ability to build armies thus getting the Pentagon which allows the possibilities Great leaders which means Instant Wonder building. I'm all for stock piling the great leaders and using them whenver I think someone might beat me to a wonder then burn em.
Well thats a STart up to the middle ages. Generally if you manage to get all these wonders from your enemy your Civ score is 80 -100 pts higher then them and they will all be in Awe of your culture thus making negotiations for techs that much easier.
PHEW!! I love wonder building on higher levels its a serious challenge.
Good luck