Our favorite wine shop in New York City was 86 Chelsea Wine Country, which was right around the corner from our apartment. It's a small shop so you aren't overwhelmed with selection. It's the kind of no-frills wine shop you go to when you're on a budget, know what you want, don't want to be bothered with pushy workers or snobby wine connoisseur types.
We knew which areas to go for the good deals - either by the cash register or all the way in the back near the floor. The owner of the wine shop or his daughters are usually there and their sales guys are mellow and friendly. If you go there and buy just a $5 bottle of wine, you won't get any strange looks or attitude. Actually, once when I went in looking for a Pinot, one of the sales guys offered me the cheapest bottle of Pinot they had. It was actually quite funny . . . that he knew our budget by then.
But our relationship with 86 Chelsea Wine Country consisted mainly of those late night calls, when at 10 PM or so, we'd have the craving for a nice bottle of something but didn't feel like getting dressed for the cold to get it. So we'd call our friends at the shop and they'd deliver the good stuff to our doorsteps in no time. Again, another great thing about New York is free alcohol and food delivery. We also discovered this budget sake at 86 Chelsea Wine Country - the Itami Onigoroshi - a very mellow, dry sake that's very easy to drink (maybe too easy). Good times. Cheers!