You can build many wonders on Monarch, if you choose them carefully, and they can be tremendously useful. However, you won't make them an absolute priority, in order not to cripple your development. That's why I generally tend to ignore the very first wonders (Stonehenge, etc.), unless I have a lot of forests I can chop.
The best way to determine wether you can afford wonders is to consider how good your starting location is, and wether you have neighbours or not. A good location (with lots of food to feed specialists) and no neighbours (which means not too many troops needed) is a "GO".
Now, what to build?
First, if you found a religion, you absolutely want to build the shrine. Pretty obvious. It is not too urgent, (you can wait until you have some cities) but you'll want it anyway.
On Archipelago maps, the Colossus is a must have, especially for a financial civ: it makes coastal tiles worth 4 and ocean tiles 3 gpt! Furthermore, at least on Monarch, it's not too hard to get.
The Great Ligthouse is very nice too, but not nearly as much as the Colossus. The only downside with the latter is that having it inclines me to delay Astronomy, which can sometimes be detrimental.
The Great Library is... great (!) on mid-size or smaller maps, when your capital city is likely to be as productive as the whole rest of your empire. The beauty of it is that the two free specialists the GLib grants you also generate scientific GPP. To further enhance its effects, build an academy early on and run both bureaucracy and representation. Then you ROCK.
If I can afford it, and I have founded a religion, I also like the Spiral Minaret. I can generally grab it before the AI (for some reason, they don't go to Divine right quickly). Plus, the Tech has a huge trade value (but I only trade it just before I complete the Minaret).
Of course, I'll build it in my capital. That, combined with the shrine, and the appropriate buildings (bank etc) will allow my capital to make 100 gpt or better, even when I run a 100% tech rate. In fact, these wonders - Shrine and Minaret -
are what allows me to run 100% tech!
There are other nice wonders, but these are the ones on my A-list. Later in the game, I'll of course try to have the Statue of liberty, the 3G Dam etc... But that's another sory.