It's maybe a bit far but - with the internet anything's possible!
My favourite is Kemp's Rare Wines in New Zealand.

His Pinot Noir's are spectacular!

He also owns one of my favourite restaurants, The Bach, in Taupo (see separate discussion).

If in London, you should check out The Sampler which is on Upper Street in Islington. They have these new high-tech sampling machines where you can taste 25/50/75ml samples of wine, with a choice of about 80 at any one time. You pre-pay for credit that is added to a special card that you then slot into the machine. It tells you your balance and each time you sample a wine, it deducts the value of the sample. Each sample is based on the proportionate value of the full bottle price so range from about 30 pence to £30, depending on the quality. You can try some amazing wines that you might not normally be able to justify buying.
Its really good fun with friends before going for a meal nearby. They are open until about 8 or 9pm.
www.thesampler.co.uk

For overall selection and inventory, I very much like Lavinia in Paris http://www.lavinia.fr

And in New York it's Astor Wines for me http://www.astorwines.com

Oddly, Orange County, California has 2 or 3 of the best wine shops to be found anywhere. Hi Time Cellars in Costa Mesa is huge, as well as Wine Exchange (my favorite) in Orange, and Wine Club in Tustin. Great selection, and the latter two have extremely competitive prices. Unlike their European counterparts, you can actually walk around and see the bottles.

As per Herry Lawford's post, Taupo, New Zealand must be have some sort of wine harmonic convergence, as Scenic Cellars there also has an amazing selection, something not easy to come across in the Southern Hemisphere.

Napa in Shanghai, near the JW Marriott

Most of you will probably find this very weird but I think the most impressive "wine shop" I have ever been in is Le Cave de Menerbes in Menerbes, France. I found it about three years ago and by complete accident as I was driving into the village looking for a Pharmacy. I parked near the Hotel d'Ville and across the way was a small shop selling local wine and treats. I decided to take a peak inside and the shop owner escorted me downstairs into a massive cellar where they kept their wine. After about fifteen minutes of browsing I found some impressive labels some of which I had seen at a Sotheby's wine action in New York. The prices were as extravagant as the Aston Martin parked outside but well worth it. Although I do not buy a lot of wine there I always make my way to the shop at least two or three times a year to find something exceptional.