Just a quick posting for all those looking to buy wine in Madrid. The easiest plaace to buy wine in Madrid is in the food section of El Corté Inglés or in small stores/off licences. However, if you're looking to find a special wine, I would recommend going to a dedicated wine merchant. Here are a couple that I know of: Lavinia, which purports to stock over 2000 Spanish wines and 2000 world wines, along with various books and accesssories. The other is Siguero on Madrid's María de Molina, which also has a fine selection of wine.
Lavinia - José Ortega y Gasset 16 | Open: 10 a.m - 9 p.m. | Metro: Nuñez de Balboa or Serrano
Siguero - María de Molina, 70 | Metro: Avenida de America