BIG wine and food person here (I'm a culinary school grad and my hubbie is a chef) - this is our list:
Everyday wine - GREAT deals at Publix (catch what is on sale - we've tried things we may not have otherwise and were pleasantly surprised! And we saved a few bucks!)
Sam's also has decent prices but, IMO, you don't need to go that distance just for purchasing wine. The prices aren't drastically reduced. Pick up some wine if you are there anyhow is my point.
Occassion wine - Chans - you just can't beat their selection but their prices ARE higher so don't buy your everyday wine at Chans (you can get the same bottle at Publix for a few bucks cheaper). Chan's in Destin also now has a cheese counter - you MUST try their cheese and pate if you are into those things. For us, the stinker the better but they also have some amazing triple cremes that are heaven.
Larder is also an amazing place - go there for a glass of vino and something to eat (they serve tapas-sized items that are all yummy). The owners are passionate foodies and they have an amazing spot. As far as going there just to buy wine to take home? I've only gone there to eat and drink wine so I can't tell you about price.
In a pinch, there is the wine store in Blue Mountain Beach and the convenience store in Grayton Corner has some wines.