I discovered what became one of my favorite wines at our local wine shop. The owner had placards on certain wines that had rated well from different wine magazines. I tried the Chateau Pesquie Cotes du Ventoux 'Les Terrasses' 2003 and fell in love! The 2005, which is what is out now, is even better. And it costs only $13.00!
Most wine shops have wine tastings, so that's a good way to find out which ones you like. Also, at restaurants, I'll ask for a taste of two different wines that they serve by the glass in order to decide which one to get. If I really like it, I'll make sure to get the name and year so I can buy a bottle (or two!!!) for home consumption!