I don't live there, but visit regularly and collect wines too - so I've checked out a few places. My favorites:
-Cavanaugh's Fine Wine at 1215 Edgewater (take Ivanoe exit from I-4) - A nice little shop with a fairly good selection and often some treasures in the back room. Sadly, they have morphed form a wine shop to a shop/tasting room over the last 2 years, which has led to a decrease in stock giving way to tasting tables. Slightly high pricing, but excellent staff.
- ABC (caution!!, there are about 10 ABC shops in Orlando.) The best ones I have found: 1 a few blocks east and north of WWWP (see next) in Winter Park (not sure of address, but it's on Orange, north of the Y-intersection with Mills.) A strong selection, with some great finds in the rare wines cave.
The other good ABC is 399 Semoran (at Fairbanks) which has a rather large rare wines room. Pricing at ABC locations is uniform, though stock is highly variable. Prices are fair and appropriate. Staffing at the 2 noted locations is very knowledgeable.
-Wine Warewhouse of Winter Park at 959 Fairbanks. Unassuming from the outside, it's a discount place with a superior, ever-changing selection. Very good staff, and the pricing ranges from fair to outstanding (ex: 1998 Zind-Humbrecht SGN Pinot Gris for $120 with a retail price of $200 -but most are more pedestrian discounts.)
I find Orlando to be a great place to find highly sought after bottles or things that were highly rated "last year" by Robert Parker or by Wine Spectator, but now largely forgotten. People don't really visit MCO to go wine shopping and the native population is big enough to demand a share of the best, but not large enough nor with enough cash to eat up everything as soon as it arrives (unlike in Houston where I am or in other primary cities. Here in Houston, it's not uncommon to watch a case or 2 of $100/bottle wine evaporate over a weekend as the vultures descend on "Spec's" to buy for cellars, parties, and barbeques!)
Likewise, I've found fabulous goodies in a few other secondary cities: ABQ/Santa Fe, Kansas City, Austin.
I was in MCO over New Years, and the Winter Park ABC had a half dozen or so bottles of 1982 1st and 2nd growth Bordeaux. Albeit not cheap at $400-800 per bottle, it was nonetheless impressive to find them there. WWWP had the gamut of Gaja 2000 Barbarescos and Barolos at or below market price and a great selection of Aussie wines including the entire current Clarenden hills line. Didn't hit Cavanagh's that trip.