Normally I wouldn't make a wine store recommendation but I found this shop while I was on a walk. It up a hill not far from the bus station around the George Washington Bridge and walking distance from the Little Red Lighthouse. I walked in and I was floored. They had one of the best selections of italian and spanish wines in the city. The only store in NYC that is more knowledgeable about italian wines is Italian Wine Merchants in the Union Square/Gramercy Park area. The store has about 2000 wines.
What to buy: the italian or spanish wine selections are very good. overall the selection was quite extensive.
What to pay: variable