As someone who came very close to opening his own wine shop one of my big concerns revolved around online wine sales. I'm not talking about club shipments of a bottle or two a month. While those bottles would certainly cut into my sales they also encourage exploration. Many customers see low prices online and salivate until they see the shipping charges. Even more disappointment awaits if you want overnight or two day shipments - the only way you should ever ship wine. Those delivery trucks are not temperature controlled.
For reasons to be especially mindful of shipping, see my earlier post about online wine http://bigeasywines.blogspot.com/2011/06/lot-18-new-outlet-online.html
Let's get beyond that and consider the unique world of wine and your access to it. Sure, some of the deals offered online are fantastic. Pay attention to vintages though, as I have found a handful of usually highly rated, expensive wines offered at insanely low prices...from less than stellar vintages. That does not mean they will be undrinkable, or even a bad buy at the cut rate price but it does mean you should temper your expectations. No one sells an $80 bottle of wine for $25 unless they tried some other price points along the way and still had no success.
Remember that you can not taste these wines. If it's a producer you know and enjoy, give it a whirl but if you're flying blind you may end up spending a lot more buying these "bargains" instead of wines you like available on shelves nearby.
You also can not ask questions or get a recommendation or easily return a selection you don't like. Some will credit you for corked bottles but most do not accept returns of unopened bottles for any reason even if you feel like paying to ship it back.
Your friendly neighborhood retailer hosts regular tastings, many completely free of charge, can answer questions, get you wine the same day and should remember you, your likes and dislikes. If they can't or won't do those things, then go somewhere else. Please do not read this missive as a call to support weasels and chuckleheads. Quality retailers exist everywhere and I promise you can even find some that offer wine at a reasonable rate when you consider other perks they might offer.
A couple in Portland, Oregon mentioned to me one night (not realizing I was in the business) that they loved coming to tastings at a particular shop but always bought their wine at a lower priced chain store nearby. I nearly needed EMS. Guess what folks, the retailer whose wine you love to drink, who gives you access to exciting wines, who teaches you about what you're drinking will be out of business if you only buy wine elsewhere and then you'll be reduced to tasting at the chain store from hired demo companies with people who know little about wine and offer only generic grocery brands and I'm only sorry I won't be there to hear you admit regret or see you crying in your assembly-line wine.