I've been meaning to write about this for awhile. I haven't invested in wine properly but am very much an enthusiast and know a good deal about the ins and outs. Some observations from over the years.
1) The English merchants set up a classification of Bordeaux wines in 1855. While there are many other great performers, buying in the top of this group has never proven a bad investment.
2) You need to be able to get in with a very reputable UK merchant (in my view) for two reasons. First, because you want to be able to get en premier (futures) allotments of the consistent good sellers. Second, because if they go out of business you will be from somewhat to very screwed.
3) Put the wines in bond with the top storage facilities as you will have the best provenance when it comes time to sell.
As far as the wines you buy, if you really know what you're doing, then there can be interesting sleepers, like for instance Pomerol (merlot region in Bordeaux, where Petrus comes from) seems to do well even if not an preeminent chateau.
I plan to make some significant wine investments in the next year or two and will be putting these concepts into play.
Here is a mildly interesting article re the returns on wine as investment. http://www.thisismon...;in_page_id=166
Remember that this is not to be confused with wine you drink. For that I used to get great stuff from Christies "trade clearance" South Kensington auctions. Now I live in Italy so I can get from the farmer directly.