I would be reluctant to check wine because of the potential for breakage as others have noted. We regularly bring wine home from trips to Europe. We get two of the 6-bottle carrying cases (often times wine stories have these for about $1 a box) and carry it on.

Do pay attention to your state laws, as slawecki mentioned.

slawecki: There are other reasons from bringing home wine besides cost. We usually seek out wines that are not available in the US.