Of course Stonehenge qualfies as a Wonder, plus it gives +8 culture and +2 Great Prophet points per turn in the city that builds it. The best part of course is that it gives you a free obelisk in every city. If you are Industrious or have stone nearby, there's no reason not to build it.
Civilization IV rocks!
As for my picks from the list I would choose:
Pyramids of Giza
Great Wall
Stonehenge
Taj Mahal
Angkor Wat
Hagia Sophia
Eiffel Tower