I know from personal experience that some of the prices in the standard brick and mortar wine shops seem reasonable but if you first do the research online you'll find out that by joining an Online Wine Club you can really save a lot and often times find unique hand crafted wines that just aren't available in the wine store.
Some wine clubs offer great discounts too and charge very little for shipping. Plus there's the added bonus of getting a package in the mail every month! Another thing about joining a wine club is that you're constantly receiving wine in the mail and this helps you to build a nice collection of wines. We don't always have the time to go to the store or wine shop but with the wines being shipped directly to our doorsteps it's easy to build a nice collection of wines.
Make sure you check out programs that offer nice incentives and good shipping rates. These are the programs that will continue to reward you for being long time club members.