It is generally assumed that while the selection at grocery stores is not as good as wine shops, the prices are cheaper. This is based on a perception, though. Because grocery stores carry the very cheapest wines, people assume that their $10 and $15 wines must be good bargains too. But really the only difference is that grocery stores carry a lot of mass-produced wine which may or may not be any good and is not as cheap as it used to be. But when we do see some cross-over, the results can be surprising. Recently, we spotted the Hob Nob Pinot Noir at an area grocery store selling for $13.99. We have it for $10.99 and have been selling it at that price for months. So you may even pay more at the grocery store for the same wine.
Plus, your big name brands like Robert Mondavi or Kendall Jackson are not as cheap as they used to be. Often they are $10-$15, and I'd put our wines in that price range in a taste test against those brands any day. Plus we have loads of good wine less than $10, starting with our own kybecca brand wines, which you can buy in a mixed case for 15% off (grocery stores may or may not give quantity discounts).
All this may sound rather self-serving, and it is of course but it's also true. If you're looking to save money, buy from a wine shop. Preferably our wine shop.