Buying high-quality wine actually can be a very good long-term investment. See the article at Bloomberg.com. An academic paper discussing this (serving as the basis of the above article) is available for free download through SSRN. High-grade wines have a great return with relatively low volatility. The returns are also not very correlated with the stock market, so wine would be a great way to diversify.
The problem? Storing the wines requires good conditions (such as a good, cool, dry cellar or a wine cooler). Also, selling the wines would rack up huge commissions when they are auctioned off. And if you do not have a large collection it would be hard to sell the wine.
This is a perfect type of investment for a mutual fund or ETF. There is one hedge fund that deals with wines, but its minimum investment is high (100k euros) and its fees are steep as well.
Of course, the other way to invest in wines is to buy them and drink them and consider that in an investment in happiness! Yesterday I opened up a bottle of 2005 Morgon (a good, fruity red Beaujolais with some complexity and terroir). My return on investment was immeasurably large.
Disclosure: I like wine and I make it as well. My disclosure policy likes wine as well.