You can build them just by researching the required tech. Note that some wonders require techs not in your tech tree so don't worry about those.
The wonder I almost always want above all others is Eye of the Universe. Sensors IV is the tech for this and it is imo the single greatest available wonder period. ALL ships and ALL SB's have instant (meaning you don't need to take up space with them) INCREDIBLE sensors on them. You can see for great distances wherever a ship is, and this counts freighters in trade routes too! You may not see how helpful this is until you build it for the first time.
There are wonders affecting Hit points, diplomacy, morale, soldier strengths, etc. Many types, use the galactopedia for an easy-to-use reference.
Also note the following distinctions between Galactic Wonder, Civ wonder, Trade Goods. Galactic wonders can only be built by one civ one time. Civ wonders can be built once per civ, and Trade Goods can be built once only for the whole galaxy. Trade goods can then be traded to other civs for money, tech, whatever. But, the return for trading the bonuses associated with the Trade Goods is not worth the money or techs you get, so keep them to yourself and use the edge acquired.
Hope this helps. Galactopedia link Twilight Compatible
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