If you have discovered Capitalization advance and your city has almost enough shields to complete a particular wonder, but you don't want the wonder it's building, you can change production to Capitalization and earn money. This way you successfully avoided wasting shields and earning money at the same time. There is no absolute answer to this question because people have different values and style. After a few games you should be able to evaluate the importance of each wonder by yourself. Before choosing which city improvement to build, you must be familiar with the various city improvements, both benefits and costs .
Timing is very important in building city improvements.
For example, aqueducts should be built when the city's population is 8, and cities should start building sewer system when the population is 12, not lower. If you build them too early, you will probably face a budget deficit because all of them have maintenance costs, with the exception of City Walls. Also, building markets, banks, stock markets, libraries, and universities in cities with very low trade activity is a waste. Building a bank in a city that has an income of 2 Gold is a waste because the bank's maintenance cost alone is 3 Gold. Fortunately it's fairly easy to see which structure is needed at a particular time.