Wonders

The only way is to use a Great Leader. Alternatively, start pre-building a palace or other large improvement and then switch to the wonder.
 
Just a little side note: you can't build Palace until you get masonry. This can be a problem with palace to GL strat.
 
Often you can trade for masonry if you need it, it being a starting tech for a number of civs (and I pick industrious civs often, it is a very powerful trait).
 
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