"Highest building of/in the world"

Solution 1:

Definitely go with "in the world". I don't recall ever hearing "highest building of the world". Google Ngram confirms that "highest building in the world" is the most commonly used phrase, by far.

However, I think it would be even better to say "tallest building in the world". This would be my personal choice and Google Ngram confirms that the use of "tallest" in this phrase has outstripped the use of "highest" since, approximately, 1917.

Solution 2:

I would use only the version with in. That with of sounds awkward and suggests that the world or the country has some nontrivial connection with the building.

Note however that we speak of the Seven Wonders of the World because these wonders are representative of the world.