What wonders you are able to build dramatically adds to the strengths of your nation. The wonder that has the largest effect overall is in my opinion Versailles. This wonder radically increases the strength and resiliance of your army by allowing your supply wagons to heal your troops. You eliminate the tedious, time consuming and often forgotten task of sending your slightly (or heavily) injured troops back to garrison and heal. When two armies clash (and all others things are equal) the battle and game will invariably go to the side with Versailles. Because after the skirmish when each side has taken serious damage the side with Versialles can continue to push forward, healing as they go. The other has to send troops back to garrison or make the large expenditure of time and resources training many new troops.
Wonders I recommend giving a very low priority are:
Pyramid - Colloseum - Temple of Tekal - Porcelain Tower - Statue of Liberty. Just in general, there are situations where each has its advantage though. But most of the time they aren't worht it.
Destroying wonders.
There is a very sneaky way of quickly killing wonders, once you are able to make commandos. Make a group of 3 to 5 commandos, a general, a supply wagon and several artillery. Find a path to the wonder that is clear of watch towers and far away from the enemy's army probably is. Use the general's ambush skill to get up next to the wonder unnoticed. Then suddenly have all your commandos sabotage and hit it with the artillery. (then have the commandos and general run away to save themselves, they won't regenerate craft fast enough be useful) The enemy won't be able to respond in time and even if the entire group ends up dead it is worth the price. This works even better if you attack somewhere else simultaneously.