Great Wonders (called "Wonders" in games where no distinctive adjective is necessary) are improvements that can be built by only one civilization.
Wonders of the World are unique buildings built in cities. For each of them in the early Civilization games, and some in later games, only one "copy" of each wonder can exist. Wonders take a lot of time to build and are not always worth the effort. Many lose their effect (i.e. are made obsolete) as soon as any civ discovers a specified new technology.
In later games, Wonders got more complex. Civilization III introduced Small Wonders, which can be built once by each civilization. C-evo has the same idea with its State Improvements. Civilization III and Civilization IV distinguished the one-per-world wonders as Great Wonders. In Civilization Revolution, while your adviser will tell you a copy can be built (at half price) when reporting a Wonder built by another civilization, only one example can be built of any Wonder.