local distributors store in temp controlled environments, at least the couple I've been to (local being Houston). they then ship to the retailers.
shipping costs seem to vary quite a bit. a couple of smaller wineries I order from don't charge shipping if I order 6 or more bottles, which to me, is a great deal (Copain, Benovia, Kesner).
a couple of others that are bigger name, more in-demand type wineries, they charge shipping, $30-50 depending on the number of bottles. in fact, just looked at recent orders and was charged $36 by Betz for a 6 bottle order and $30 by Delille for an 8 bottle order. those places are within a couple of miles of each other, both orders are ground shipping in the fall. I think Delille charges near $50 for the case deliveries as part of the club shipment.
I joined a small Napa list last year and got 6 bottles from them, but can't find the receipt to see if I paid any shipping. I don't think I did, but can't remember.
I did as someone above and cancelled an order one time due to shipping costs. For the life of me, I can't remember who. It was a small order and the shipping added in excess of 10% cost per bottle, so I just figured the value was gone.