I'm a wine professional, living in Bangkok and travelling frequently throughout South East Asia. I'm a huge fan of Laos and Cambodia and off the beaten track travel. Feel free to contact me at: www.facebook.com/mil.elephants
I know it, you know it. Wine is expensive in Bangkok and it's not going to get any cheaper anytime soon. Why is it so? Well, the taxes applied to wine in Thailand are multi layered and very high compared to most Western countries. Ultimately this means that a bottle of wine you're used to paying $10 for will be three times the price or more, which is just plain annoying.
The tax applied to wine is somewhere between 250 and 370%. The difference being a result of various trade agreements between Thailand and wine producing countries.
Wine from Australia and Chile comes in at a lower tax level as a result of Free Trade agreements which can have a big impact on the sticker price. Over the last year or so a lot of retailers have increasingly stocked these new world wines in preference to old world producers.
This is good for consumers, although perhaps a little irksome for our French friends. Most retailers have very limited ranges of wine compared to the west and even to other Asian markets, so finding a place you trust for quality and value is great.
Some general rules. When buying white wine pay close attention to vintage, a lot of stock may sit for a long time on the shelves, or in questionable storage facilities (although this is changing). For Sauvignon Blanc always, try to buy something produced within the previous year or current year. For other varietals a bit longer is ok, but for less expensive wine bottle age is a negative not a positive.
For red wine with corks, look for any raising of the cork as this can indicate an unstable wine. Thankfully most moderately priced wines are stelvin or screw cap which is less prone to spoiling as a result of closure issues.
Always look at the tax sticker on the top of the bottle. An orange label means the wine has been blended with fruit juice or has been bottled in Thailand, and it's provenance could come into question. A blue tax sticker means that the wine has been bottled in the country of production and should be more trustworthy.
Which retailer? This is difficult as their isn't a huge amount of difference between them in terms of price. Villa probably has the best range overall, so if you want plenty to choose from try them out. Tops (and Gourmet Market) has a smaller range, but they import a lot or their range themselves so they are able to drop the price a bit, especially for Australian wine. I wouldn't bother with Big C or Lotus for anything interesting, but that may change in the future.
Finally, I always get asked which is the best wine. It's the one you like the most, whether its cheap or expensive, red or white, just enjoy it.