In some areas, including California, wine is sold through a nationwide network of local distributors who do not want their prices undercut at the winery, so you won’t find any bargain prices. You can, however, be sure that you will like the wine, and you may be able to buy wines produced in such small quantities that they are only sold at the tasting room.
In Europe, you will find that prices vary, but are usually cheaper direct from the producer than they would be from a wine shop in the same country. If you are visiting the Champagne region in France, however, you may well find that local supermarket prices are lower than those charged by the wineries.