I got well hacked off at paying a tenner a bottle for a decent bottle of Fino, and six or seven quid for a wine I know costs €4 in the Spanish equivalent of the local bakkal, so had a look at whats available online. With a wee bit of help from Jancis Robinson, I had a good start and it appears buying direct from the country/producer is nothing new.
Her list for Spain:
http://www.jancisrobinson.com/learn/where-to-buy/spainThe biggest issue is carriage - the majority of online suppliers who ship to the UK use couriers like UPS, Hermes etc, and shipping 12 bottles wine for many of them isn't cheap.
Have a look yourself, but the outright winner for me is:
http://www.decantalo.com/ with
https://www.vinissimus.com/ coming a close second.
Depends what you order, but our last order with Decantalo was a total of 62 bottles (wine & sherry) and the carriage was €46 with UPS.
Join their newsletter and you'll get 5% off your first order. They also do spirits, so if you like good rums there are some decent prices compared to the UK and Duty Paid shops.
Buena salud!
JF