You are not alone. Depending on where i am and the purpose of the trip, my first stop is usually a grocery or liquor store for food and drink. I hate paying seventy two dollars for a 12 ounce can of pepsi from a machine (who carries all those bills with them?) when a 2 liter bottle of coke is eighty cents from the local store or gas station food mart.
Same thing with the wine, you can most always get a decent bottle for the cost of two tiny glasses of it from the hotel.