Occasionally, I will stop at BevMo, or Total Wine, but I find these shops are best for liquor and beer, and not necessarily for their wine selection (unless I am only looking for domestic wines... which they both have very good selections).
Here are some of the wine internet websites that I have used, and found to have great deals. I have not had any issues with the shipping, or the wines that I ordered. I know there are many more wine websites out there, but these are the ones I can verify are reliable, and on the internet now:
www.winespectator.com (you will need to join to get the full benefits)
Lastly, nothing beats actually meeting with the winemakers at their winery, or in the vineyard. The relationships you build with the people actually working the vineyards, and tending to the wine in the cellar, is part of the wine experience. Most of the time, you can't get out to winery, but sometimes the winery comes to you. In that case, you need to know where and when the next wine event is coming to your town. I have found that www.localwineevents.com has a good amount of information on it.
If you have some good websites to share, please add them in the comments section below. We are all looking for a great deal, so might as well "share the wealth". Ahhh...the wonders of the internet community! but don't forget your local wine expert, and their suggestions.