We visit the Wine Devine (and they will loan you glasses, cork-screw) and another liquor store on Front Street... can't recall the name. The Pelliguino place has decent wine also. Yeah, its more expensive in SP, but considering how it has to get there, I guess its not too bad.
We visited Rendevouz once, I liked the beach bar, I liked the people and the food... the wine is not so good. We saw where they make it, and again, considering a process of fermenting and aging in 80+ degrees... I am surprised it was as good as it was. If you are looking for California (new world styles) you won't find it made in SP I believe.
We typically spend about $40 BZ for a decent wine in SP, or about twice what it costs us in the states... but if ya gotta have wine, its all good.