Markets are most useful, once you gain a third lux as you get additional happy form each lux. Coloseiums I do not build as they are too expensive and I would rather use the slider or specialist and put my money into paying and building troops.
Cathedrals are about the same and I rarely build them. Again at Warlord, I should not need them and at higher than Emperor I cannot afford to divert shields. The main thing is to not build them as soon as you get the knowledge. If I build them, it will be much later, when I can get them up quickly and not delay making things like settlers and troops.
I will only build them in two or three of my best cities, typically when they become metros, if they do.