Since AWs are chapter-locked, a lot of AWs end up having their usefulness kinda marginalized by just how much you have to put into playing the game before you're even allowed to build them. For this reason, IMO the only truly good AWs are the earliest ones you have access to - AW benefits in general are fairly strong, even moreso when your city is small/rapidly growing and you can really put these effects to use. AWs also tend to get larger as you move up through chapters, which again offsets the usefulness of their bonuses. For example, despite the fact that Needles of the Tempest and Victory Towers both provide a military unit boost along with a speed increase for one of the training buildings (both of which increase at the same rate per level on each AW), the Victory Towers come far later in gameplay, and is additionally more than 50% larger, which also means it's more expensive to level up. I still think both are worth having; like
@Tedious above I consider all military-boosting AWs to be extremely important, but this is a shining example of how AWs kinda get less efficient as the unlock chapter for them increases.
That long rambling aside, I personally build every wonder. The ones I feel provide me the least benefit as a player at the end of the research tree are, in order of unlock:
The Great Bell Spire/Crystal Lighthouse - The goods just aren't a very significant amount compared to what my normal manufactories are putting out.
Thrones of the High Men - This one is definitely just a showpiece for those who prioritize ranking, the culture it provides is far too inefficient to actually be useful.
Enar's Embassy - While I have made use of the mana bonus from scouting, putting normal mana production in this large footprint is much easier to work around and rely on.
Maze of the Dark Matter - Similar to Enar's Embassy, normal mana buildings are probably going to be a lot more useful for just about everybody. However, this building does effectively raise your mana 'cap' which may in some very niche cases be necessary over simply increasing production (like the very expensive Main Hall upgrades)
Elvenar Trade Center - I don't know how it is for others, but the seed production is junk for me. I'm also not a heavy trader/caterer, so I don't gather much benefit from the MM increase either - I spend most of my Academy hours running PoP spells because supplies are my biggest need
Sunset Towers - similar to the Bell Spire/Lighthouse, there just isn't enough of an effect for me. I collect so many seeds just from my Trader every day that my stockpile far outstrips any cost that arises (my seed cap is right around 130k).
Lighthouse of Good Neighborhood.- the effects are nice on paper, but it just doesn't really work in practice. If the mana bonus was either passive or applied at all times when EE was active on a building instead of requiring both EE and NH, it'd be worlds better. But as it is, you have to put your EE spells on buildings that are less efficient for culture in the hopes that visitors break their conditioning of aiding only the highest-culture buildings and go for mana producers instead. Too hit or miss for me.
I consider all other AWs to be worth their cost and space.