6K Man
Bureaucrat
Received wisdom around here is that, rather than build a wonder yourself, you might as well build 10 Axemen and go get the Pyramids from stupid 'ol Ramesses, Louis, or Huayna who obligingly built them for you. Which is all good and fine. But some Wonders are less suited to this strategy, and in a fit of work-induced boredom, I thought I'd supply my list.
(Disclaimer: All captured wonders will still provide the GPP they would normally yield, but provide no culture. So even a "not capturable" wonder will give you some GPP, at least.)
Not capturable:
Oracle
Taj Mahal
Semi-capturable:
Great Library: Still works, but you may have built your GP farm (with National Epic) somewhere else
Temple of Artemis: Still works, but may not be in your best trading city (and often better as a trade destination for Great Merchants)
Hanging Gardens: +1
still applies, but +1 pop/city doesn't.
Versailles: Not always in the optimum location, but you can always move your Palace
Notre Dame: May be on wrong continent.
Great Wall: May be on wrong continent – but less of an issue than with ND, as continent only matters for purposes of warding barbarians, not other functions
Statue of Liberty: May be on wrong continent.
Three Gorgeous Dames: May be on wrong continent.
Apostolic Palace: May be wrong religion; may not have enough votes to be Resident (despite owning it).
(Disclaimer: All captured wonders will still provide the GPP they would normally yield, but provide no culture. So even a "not capturable" wonder will give you some GPP, at least.)
Not capturable:
Oracle
Taj Mahal
Semi-capturable:
Great Library: Still works, but you may have built your GP farm (with National Epic) somewhere else
Temple of Artemis: Still works, but may not be in your best trading city (and often better as a trade destination for Great Merchants)
Hanging Gardens: +1

Versailles: Not always in the optimum location, but you can always move your Palace
Notre Dame: May be on wrong continent.
Great Wall: May be on wrong continent – but less of an issue than with ND, as continent only matters for purposes of warding barbarians, not other functions
Statue of Liberty: May be on wrong continent.
Three Gorgeous Dames: May be on wrong continent.
Apostolic Palace: May be wrong religion; may not have enough votes to be Resident (despite owning it).