Wonders are a special type of building that fills an entire hex and has a significant impact on gameplay. When you select one to build from the Production Menu, you will enter the placement lens, just like you would for building a district. Most wonders have specific placement requirements, and the lens will highlight which tiles are available. All wonders must be built within 3 tiles of a City Center. If you complete a wonder in a city, that city will immediately expand its borders by two tiles.
Each wonder is unique. Though multiple civilizations may attempt to build the same wonder, only the civilization that first completes the wonder can reap its benefits. Civilizations failing to complete a wonder in time are refunded a portion of Production and some Gold.
For more information on each wonder, see the Wonders and Projects section of the Civilopedia.