What I did find was Villa Market - usuall the one on Sukhumvit between 33 and 35, but occasionally the one down by (Soi 6 is it??). They have a whole floor, temperature and light controlled, dedicated to wine. Each month they have 30 to 50 wines on sale, and the sale prices are good -- especially if you can survive without having European wines very often. After your first few cases, the staff get to know you, and will call your attention to new arrivals, or even 'extend' a sale if you have a particular favourite.
Yes Villa market, near Suk 33, is an excellent place to buy wine, I buy mine there as well, and I usually go for the buy 1 get 1 free sales. My boyfriend loves to drink wine, but really the prices are still silly. Two weeks ago, I bought some Aussie white wine, for 900 baht I got two bottles. I'm sure the same bottles would have cost me around 400 baht back in my home country.