The wonders are not cost effective compared to other options for prestige, piety, and most of the other bonuses you get from upgrades. In fact, the majority of the improvements are essentially worthless as well. The real value you can get out of them is from stacking bonuses from specific wonders. For example, the university is absolutely worth building due to the lower cost of stages and the improvements which give +1 to each of your ruler's attributes. This is assuming you've already got a full set of forged equipment and library of books, as both of those are more cost effective investments. If playing as a merchant republic, your family manor is also more cost effective and should be fully upgraded before building a wonder.
- Cathedrals should be built for the general opinion boosts they can give, +5 with church and town, and +2 with same faith. They also have a couple trait opinion boosts, and 0.25 piety per month.
- Pagan temples are not worth building, having only the +2 same faith bonus. The rest of their bonuses are local revolt risk, zealous opinion, and a laughably small 0.05 piety per month.
- Mosques are actually even better than Cathedrals, with +4 same faith and +5 town opinion. They can also boost culture conversion rates, have several trait opinion boosts, and a special minor title.
- Synagogues have the +2 same faith and +5 church opinion boosts, as well as the boost to culture conversion rates. Not much else, but there is a +1% moral boost.
- Buddhist temples have +2 same faith, the boost to culture conversion rates, but also have a couple upgrades that give +3 Buddhist opinion and +2 Indian religion group opinion. So they can actually get +7 opinion with all Buddhists with one great temple.
- Hindu Temples have +2 same faith and +3 church opinion, get the culture conversion rate, but also get a unique religious conversion rate boost and another +3 dynasty opinion improvement along side the mural that most wonders have.
- Universities, as mentioned before, are one of the best wonders in the game. They can give +1 to all ruler stats along side 0.05 monthly tech points for each of them, two give culture tech and the learning upgrade gives 5% tech spread to the local province instead of points. They can also give +3 to town opinion, a global 10% boost to tech spread, and a unique minor title.
- Ruler Statue, a fairly weak wonder, mostly you just get an extra +3 dynasty opinion, +3 vassal opinion, and a minor title. This is the best option for prestige, but it's still not cost effective compared to hospitals.
- Great Harbor, only notable things here are a +15% siege ability and a minor title. The rest all boost local tax, trade, and supply limit.
- Great Lighthouse, +5% morale, minor title, and +3 sex appeal.
- Mausoleum, +3 dynasty opinion, +10% assassination chance (is this useless with direct assassination off?), +5 Zunist opinion, and a minor title.
- Garden, 5% fertility, +10% plot power, +10% plot defense, and a special building for mystics and another for hermetics. The later gives +1 health and period herb items if a Hermetic.
- Fortress, +5% arrest chance, +3 combat rating and +5 brave opinion. There's also a bunch of local boosts to siege defense and one that gives +100 heavy infantry to all holdings in the province.
- Great Walls, +8 town opinion and a minor title, but it can add 450 archers and 100 heavy infantry to all holdings in the province. This is likely the best wonder for local bonuses and gives great siege defense.
- Underground city, +10% arrest chance, +10% plot defense, and a minor title (it's dwarfs only, so generally useless).
- Palace, +10% arrest chance, +5% fertility, and a minor title. Actually has some +1 and +2 prestige upgrades which are actually worth getting for the cost, 1000 gold each. The +2 requires construction tech 6 or you have imperial government.
- Stone Circle, another +3 dynasty, +2 same religion, and a minor title.
- Library, worthless. Only gives tech spread and a minor title. Seriously should be rebalanced.
- Pyramids, +2 same religion, another +3 dynasty, minor title. Basically another stone circle, but more expensive.