Let's see... my current game should serve as an example of what I build.
Emperor level, Dutch, 60% water continents map.
The Pyramids would've been built if I'd lucked out with an SGL - but I didn't. Ah well.
First off, I was going for the Great Lighthouse (with it, I could send Galleys safely to the other continent). I got beaten to it. However...
Ivory was on my continent, so I tried for SoZ - but it was too far away and I was beaten to the SoZ too, which luckily I was able to turn into a pre-build for the Hanging Gardens, rather than lose all those shields.
Next, an early Medieval wonder - Sun Tzu. Sometimes, you just get a hunch that a certain wonder is "right" for the map you're on. With this map, Sun Tzu was that wonder. Again, I was lucky, and got it. (Sistine would've been useless as I don't tend to build Cathedrals, Leo's would've been a nice consolation prize!)
Then a long, long time with no wonders (I captured: SoZ, ToA (and lost, and re-captured, and lost, and eventually razed), Great Library).
I was first to both Astronomy (Copernicus) and Theory of Gravity (Newton's). The AI must've been a bit off their game, because I also built Shakespeare's (but not in my capital).
Right now the Shakespeare's city is building a Factory, then a Coal Plant, then Universal Suffrage in probably 9 turns. It will also build Hoover's, with my capital building ToE. I plan to win a UN vote. If Music Theory comes in, I'll build JS Bach's. If Navigation is researched, I won't be building Magellan's.
My capital right now is building a wonder everyone's ignored so far, that I find to be very, very, useful: Adam Smith's. Free Markets, Banks, Harbours, Stock Exchanges, Commercial Docks! Money money money....