The Chicago Tribune has a piece on that 'new wonders of the world' list and in passing mentions the statue of Zeus at Olympia in this context:

Caligula tried to appropriate The Statue of Zeus, and broke it. A Roman successor closed its temple, which later suffered earthquakes, landslides and fire.


Did Caligula break it? The (probably apocryphal) tale in Suetonius (57.1) doesn't really suggest such, nor does the tale in Dio (59.28) ...

As a postscript/sidenote (ouch), the Daily Telegraph (Australia) notes that the Spanish Prime Minister was compared to Caligula because of plans to legalize gay marriage ...