Wine is becoming cheaper and more readily available in KL. There are a lot of specialty shops springing up, but I would recommend to stick to large chains as in my opinion the pricing is better. Also, I worry about turnover and proper storage at the smaller shops. You sould also look out for what is the on sale.

The largest selection in my opinion is in the Carrefour at Midvalley Mega Mall, which has recently opened a large temperature controlled wine room. They have a particularly fine selection of French wine. Surprisingly they even stock Grand Crus! (not that i can afford any). Also in Midvally, take a look in the supermarket in the basement of the Jusco store – the have good promotions.

If you are in KLCC, you can try the supermarket in the top floor of the Isetan department store (just outside the supermarket actually) or the Cold Storage in the basement. The selections at both are not huge, but they have good promotions.