Winning a guild contest gives your guild bragging rights and a cup on their guild display, but there aren't really any tangible benefits, unlike with the individual competition, which will give you reputation bonuses through certificates that you can keep or sell for megabucks.
Having a completed Wonder of the World means that you can build the special building "Library." This means that, periodically, you will be visited by Phoenicians, who will leave you with anything from a warm handshake to regular items to items that give reputation to building upgrades to knowledge upgrades. As I understand it, those who contribute to the building of the Wonder can increase the frequency of those visits by the amount of marble that they donated, but all members of the guild can build the library, even if they join after it's complete. (Someone can correct me if I'm wrong, of course.)
Joining a guild is a really great way to get involved in the game. You'll meet people who've been where you are and can guide you from making the same mistakes they made. It's usually a more active and easier place to find folks to trade goods, buildings, knowledge, and other commodities with.