Great Wonders (called Wonders in games where no distinctive adjective is necessary) are unique buildings that can be built by only one civilization. They have powerful effects but take a lot of time to build and may not always be worth the effort.
Great Wonders are the most typical type of wonder, present from the start of the series under the original title Wonders of the World. Only one "copy" of each Great Wonder can exist, and so they benefit only one nation. In the original Civilization game there are 21 Wonders, and many would lose their effect (i.e. are made obsolete) as soon as any civ discovers a specified new technology. In Civilization II there are 28.
In later games, Wonders grew more complex, with the addition of other special buildings similar in function. Civilization III and Civilization IV would distinguish the original one-per-world wonders as Great Wonders. This is because of the addition of Small Wonders in Civilization III, which can be built once by each civilization. These would later be known as National Wonders in Civilization IV onwards, then removed in Civilization VI. C-evo has the same idea of National Wonders with its State Improvements.