There's a lot to be said for shopping at your local wine shop -- there's the whole interaction between you and the owners and the wine, there are tastings, you might meet interesting people, etc. But I've also learned there's a lot to be said for wine online.
After a particularly harrowing night of doing taxes (I believe it was the night of April 15th), I found my wine fridge was terribly depleted and felt the need to replenish it... INSTANTLY. While Mark input Schedule C's, I went to www.mywinesdirect.com
and placed an order. While the site does not have a huge selection, and doesn't carry many commonly "popular" wines, I've found that their wine recommendations are solid and their wines are affordable winners. Best of all, I could order in my pajamas at midnight and have the wine delivered, for free, in about two days. The boxes arrive beautifully packed, and my wine fridge is instantly full.
I've ordered from this site twice now, and I've been very satisfied both times. The wine that originally drew me in was a Sonoma Cabernet -- reasonably priced and a great "everyday" wine. Plus, they carried some of the smaller family brands that Mark and I got to try when we were in CA last year (for example, Larsen Family wines).
Don't forgo your local store - they appreciate your business - but on the other hand, the convenience of ordering at home and having it delivered is something you may want to try.