Venice:
- If you have a chance to go for a day trip to Verona, there are a lot of wine shops with many OLD OLD OLD vintages of Amarone for sale. 20, 30, 40, 50 years old, and pretty reasonably priced as well. It's a small town, walk around and you'll find a store eventually.
- Venice: On the south bank of the Dorsoduro, I think on Calle Zucchero, there is a wine bar frequented by locals with a good range of wines by the glass (and bottles too) at good prices. Can't remember the name at the moment, I'll update this if I remember. Barolo, Barbaresco, Amarone etc by the glass.
In general, wine in Venice is either crap and served in small thimbles, or outrageously expensive...such is the nature of their unique layout and the masses of tourists there.
Paris:
- Caves Taillevant - large selection. The shopfront on ground level only has a little, ask to be taken into the underground cellars. This place also sells Jacques Selosse champagne...I paid 70 euro for the brut initial NV back in November 2010.
- Galleries Lafayette (Blvd Haussmann) - massive selection, especially Bordeaux, and includes a vertical of Yquem going back probably 100+ vintages. I also had a sneaky glass of Yquem 1998 here while the missus was shopping in ladieswear

- La Tour d'Argent (restaurant): 450,000 bottle cellar, eat there and ask for a tour of the cellars...
- If you want to test whether a wine store has a good/interesting range, see if they have Domaine de Plageoles, Jacques Selosse or Chateau Simone. Bordeaux, Burgundy, Rhone are a given - even DM has a wide selection of these...
A note: most of the large retail stores in Paris aren't cheap, however that is the cost of the spacious layout, incredible range and back vintages in stock. Just browsing in these stores is an "ah-moment" that you don't get buying online or shopping at the large chains here.
Rome - sorry, didn't notice many great places here.