For me it's Notre Dame, because normally around that time I am in desperate need of some happiness, but also you get the ability to create trebuchets through physics. What about you?
When I first started playing Civ V against AI, I would almost always play as Egypt on prince difficulty and wonderspam the crap out of them. This means you learn to have alot of fun with the different wonders in the game. Some of my favorites though are Great Wall for waiting until the last second to finish it and right as an AI civ declares war you make it almost impossible to traverse your tiles, Petra for completely screwing over the desert heavy civs like Morocco, Borobudor for spamming your crappy religion to all the local civs and then having them declare war on your Great Wall defended cities, Leaning Tower of Pisa because every civ goes for it and they all get the "you built wonders they coveted" negative relation, Great Firewall for stumping the cultural civs if they were banking on internet, and Hubble space telescope for pushing your already huge tech advantage even further. You can have alot of fun with the wonders in this game, and I'm hoping that Civ VI's restriction on wonders to tiles doesn't ruin this.
I like the Colossus it just looks cool, having a giant on the one side of the city. It doesn't give you much but I still like it.
I would say that The Great Wall is up there for me too. I am not sure why but I always think this is one of the more significant for a nation to have.
