Pyramid - 1.5k increased warehouse cap.
Gardens - 3% more res income.
Zeus - 5% more favor for Zeus.
Temple - 5% more favor from all gods.
Mausoleum - Myths costs 5% less.
Clossus - 10% less duration for victory processions.
Lighthouse - 10% less costs for Phoenician trader.
The rewards for completing those Wonders stay in that single world. The only thing that carries to other world is an award on your profile Oh and 50 more favor cap on HW.