European restaurant on Spring St (across from Parliament, next door to Princess Theatre) has a great wine list. Same ownership is the Wine shop next door (same kitchen but different menu, and they will serve you any bottle that they sell for reasonable corkage). Upstairs is Siglo's which is rooftop terrace bar, very crowded esp. when tennis is on. You can spend anywhere from $30 per bottle to $3000 per bottle quite easily
In between there used to be a cigar bar but smoking is now banned by law so not sure what has become of it (still serving food/wine) ... so lots of choices in that building, at all price points.
My personal favourite is wine list at "Hell of the North" (restaurant named after the Belgian bike race), some very good finds as the owner is one of the best Sommeliers in Oz.
Another stealth wine choice is a Thai restaurant called "Cookie" which is on Swanston st (opposite the Grand Mercure hotel). Great wine list with many cellared French wines and obscure Australian ones. However the gems get discovered and drunk, so the wine list seems to get less stellar each year.
Cocktail bars are the hot thing now, and Melbourne has some good ones ... has replaced the wine bar to a surprising extent.