The simple fact about wine distribution is that far from everything is available in any particular market. While we St. Louisans are relatively well placed in a large metropolitan area spanning two states, there are times when ordering a wine from another state is the only way to get it.
Regardless of whether you are looking for a particular wine, or just shopping for rarities, using a dedicated wine search engine is a step you'll want to take. Randomly Googling for a wine or going though the sites of wine shop after wine shop won't yield very good results. I personally like Wine Searcher and have used it for many years. Before children, when my wine budget was significantly greater, I even stumped up for the site's "Professional" subscription, which really does yield many more results. There are other choices out there now, such as Snooth and WineZap, but I haven't found anything that works as well as Wine Searcher for me.
Once you've located the wine you're looking for, it's not as simple as entering your credit card number and checking out. Instead, the prudent shopper needs to make sure they are buying from a reputable merchant. And since you're going to the trouble and expense of shipping wine from another state, you presumably want the wine badly enough to spend a few extra minutes checking out the store. Unfortunately there are a few unscrupulous merchants who don't take care of their stock, and even some who don't have wines listed on their website in stock, though they're happy to charge your credit card immediately. Some quick searches on the major Internet wine discussion forums should provide a good baseline; if you're a member of such a forum, a post there soliciting other users' experiences may prove worthwhile.
Be prepared for the fact that shipping isn't cheap. Wine is heavy, so a case of wine shipped by ground service will cost $30-$40 if sent from one of the coasts, while second-day air will see that price approximately double. I don't recommend ground shipping unless the entire route your wine will travel is temperate. If it will be above 80° F or below 30° F anywhere along the way, I would either pay for second-day or ask the shop to hold the wine until better conditions prevail. Personally, I have my wine shipped only during two relatively short windows in the spring and fall when conditions are optimal. I see no point in tracking down rare wines from great retailers and then potentially destroying them through impatience.
