Here are some guidelines:
1. Know your budget: Before you open your wallet you should know what the maximum amount is that you're willing to spend. This is important because once you're in a store its easy to get distracted.
2. Know the reason you're buying the wine. If you're buying to go with a meal you should know what types of foods go with the different wine varietals. If you're buying the wine for someone else you should know their preferences. This could include wine color, country of origin, grape variety, specific wine region and brand.
3. Most wines are better young so if you're buying a wine to hold on to it for years please know what will last. Ask the proprietor of the store for help in this regards or better yet do some online research first. Two categories to start with to consider for the long term: the top growth Bordeauxs and many finer California Cabernets. Also there are German Rieslings and certain Chablis that age well too. That is just a starting point. Some specific research from there is necessary because much of it has to do with the wines body and how it is made.
4. If you drink wine often (I drink 2 glasses daily myself) think of buying in bulk. Many wines offer 1.5 L bottles which can offer savings. Also consider buying a case (12 bottles).
5. Vintage year can matter especially on the higher scale choices. The wine critics are a good resource for this like the highly respected Robert Parker . Many critic reviews note the subtleties the untrained tongue could miss. Parker also has a cool weekly wine list on his site.
6. Consider buying direct from a winery (unfortunately there may be restrictions if you're buying out of state or country). Many of the Napa Valley wineries offer online reviews and notes on their wines and ship to most states.
7. Consider a wine club. This could be a good option if you want someone to choose for you. With this you don't have to deal with store frustration either. Click here for a helpful list.
8. Consider buying online. You may be able to buy directly from the winery. There are also the online super wine stores like wine.com as well as specialty stores like Bounty Hunter Rare Wine.
9. Sam's Club and Costco warehouse stores give you another wine buying source. Many times you'll find some reasonable prices even on some more expensive wines. Bare in mind that some wineries won't sell to warehouses.
10. Coupons never hurt. Click here for a list of current wine related coupons. Sometimes you'll find them in the Money Mailers as well. I found one for 10% off at my local liquor store recently.