I have read through a lot of the discussions on wonders and opinions vary about what is good and what is bad. None of them really give you an idea of what may be useful for your style of play. I hope that I can give a general idea of the usefulness of the different wonders without too much bias. There are several discussions about the cost of having a wonder. There are always trade offs and costs associated with having a wonder, but that is part of deciding how to play the game. Also keep in mind that the wonders are level dependent; they are more powerful at higher levels. My analysis does not go into the usefulness at higher levels, merely a synopsis at various stages of the game. I have defined the following stages: Early Game (Ages 1 to 3), Mid Game (Ages 4 to 6), and Late Game (Ages 7 and 8). Everything is based on the current version of the game as of 9/16/16. In other words, things will change after all of this is typed in.
Age 2 Wonders
Tome of Secrets (4x4) - KP/day and Supplies for Scouting
Early - extra KP is useful, bonus supplies easily available due to quick explorations
Mid - extra KP is useful, bonus supplies are at average to slow availability due to longer explorations
Late - extra KP is useful, bonus supplies are only available once every couple of days.
Note: This only gives 3 KP per day once you reach level 11
Golden Abyss (3x3) - coin/3 hours and extra population
Early - extra coin needed, extra population needed
Mid - extra coin useful, extra population needed
Late - coin is not needed as much, but can be useful at the wholesaler; extra population needed
Note: Best population/square at level 15 (about 288 people per square)
Age 3 Wonders
Endless Excavation (5x4) Extra relics/province conquered and supplies/24 hours
Early - extra relics easily available due to quick explorations, potentially useful for boosted goods, spell creations, and wonder upgrades; supplies much needed
Mid - extra relics are at average to slow availability due to longer explorations, potentially useful for boosted goods, spell creations, and wonder upgrades; supplies much needed
Late - extra relics are only available once every couple of days, , potentially useful for boosted goods, spell creations, and wonder upgrades; supplies much needed but are slow to get
Needles of the Tempest (3x5) Attack boost for Light Ranged Units and training speed increase
Early - Heavy ranged units just researched, light ranged units reliable; training speed increase useful
Mid - Heavy ranged units are more available, light ranged units are still viable; training speed increase useful
Late - Heavy ranged units are used in majority, light ranged units might be useful if the Needles is at level 15; training speed increase useful
Age 4 Wonders
Martial Monastery (5x5)/Sanctuary (5x5) % health increase for troos and extra culture
Mid - Needed for any combat; extra culture always useful
Late - Needed for any combat; extra culture always useful
Crystal Lighthouse (6x4)/Great Bell Spire (4x6) Boosted Goods for Neighborly Aid Given and % Increase of time for Neighborly Aid Received
Mid - Extra goods useful, dependent upon having neighbors to help and get help from; Longer cultural bonus is useful
Late - Extra goods useful, dependent upon having neighbors to help and get help from, not a lot a bonus goods for once per day; Longer cultural bonus is useful
Age 5 Wonders
Watchtower Ruins (4x5) % Culture bonus on Neighborly Aid received and Extra culture
Mid - Bonus culture useful; extra culture needed
Late - Bonus culture useful; extra culture needed
Thrones of High Men (4x6) Bonus ranking points
Note: This wonder should only be built if ranking is important to you
Mid - Dependent on having multiple wonders, preferably at high levels
Late - Dependent on having multiple wonders, preferably at high levels
Age 6 Wonders
Dwarven Bulwark (7x4) Extra Light Melee Units/3 hours and Increased training size
Mid - Extra free Light Melee Units are useful; increase in training size useful if you are producing troops
Late - Extra free Light Melee Units are useful, but Light Melee Units may not be used as often; increase in training size useful if you are producing troops
Mountain Halls (3x8) Relic boost and Extra Population
Mid - Relic boost is useful; Extra population is needed
Late - Relic boost is useful; Extra population is needed
Age 7 Wonders
Prosperity Tower (5x4) Spell of Provision duration increase and Supplies/3 hours
Late - Spell duration increase is useful; Supplies are needed
Blooming Trader Guild (3x7) Trader's fee decrease, Wholesaler trade value increase, and Portal production boost
Late - Trader's fee decrease is useful even if you are in a fellowship; wholesaler trade value increase is useful for coin/supply overflow; Portal production boost is extremely nice, but currently has a limited use
Age 8 Wonders
Heroes' Forge (5x5) Orcs/24 hours and Strength increase for Heavy Melee Units
Late - Because of the necessity of orcs, free orcs even once per day is useful; Strength increase for Heavy Melee Units is necessary for combat
Shrine of the Shrewdy Shrooms (5x4) Light Ranged Units/3 hours and Training size increase
Late - Extra free Light Ranged Units is useful but Light Ranged Units may not be utilized as much, Potentially more useful in conjunction with the Needles of the Tempest; Training size increase is useful.
Hope this helps and enjoy building your city.