There is a problem with supermarket wine, however. They need large volumes to guarantee consistent stock for all their stores throughout a season and this can to lead to a reduced capability to offer alternative and unusual wines. So doing all your wine shopping in one supermarket will mean that you may miss out on interesting wines which may have more character, yet don't always cost more.
The beauty of a local wine store (assuming it's not just another big chain), is that the staff will most likely be passionate and knowledgeable about wine, and they'll take the time to discuss what you like and make useful recommendations. Try asking the guy in Tesco or Sainsbury's which three wines you should pair with your upcoming dinner party menu, and you may get an interesting reaction. Your local merchant however, will leap at the chance to ease you out of your comfort zone and suggest a few alternatives to meet your budget.
Over time, your local store will get to know your preferences, and again, can recommend newly arrived wines for you to try. Often, these stores organise tasting events, creating plenty of opportunity for you to try new and exciting wines, and to meet with your fellow drinkers. It may even be possible for them to get something in that you love and can't find anywhere else.
The other key advantage is that you're keeping your local high street alive, and hopefully helping these businesses stay around for the long haul.
You might be thinking that it's not quite as easy to browse in a local store and you feel under pressure to buy something. If you're reading this, buying something isn't going to be a problem as you'll most likely be drinking a bottle of wine in the next week or two. And, if you're clear on your budget up front, then there's nothing to worry about. It is really is okay to "just have a look". These people don't bite and they'll be glad you popped in.
I'd love to hear (using the comments) about your favourite local wine stores and what makes them special. Meanwhile, here are a few of my favourites, which can hopefully become your favourites too, as they all also offer online sales.
Once again, I'd love to hear a shout out for your local wine merchants, and look forward to visiting some of them on my travels. Cheers!