It depends upon your state. STATE law not Federal law is controlling in this situation - see the 21st Amendment, section 2. I think there is a map at www.thewineclub.com discussing "can ship" states and "can't ship" states.
According to the above site, you can only have alchohol shipped to the following states: California, Colorado, Hawaii, Idaho, Illinois, Iowa, Missouri, Nebraska, New Mexico, Oregon, Washington, West Virginia, and Wisconsin.
I have a friend in NYC who says he can't even buy a bottle of wine when he visits the West Coast (Seattle or San Francisco) and take it back with him because of NY State law (protecting the crappy New York wineries).
Actually www.wine.com has a list too. Looks like you have to use the much more expensive DHL shipping to MN: over TWICE as much as UPS. Contact your state legislature and complain about useless laws.
Useless isn't the word, and many of these are pretty recent. I bought a few bottles of wine (an Australian madeira) for Christmas gifts a few years ago without issue from wine.com but at some point the legislature passed some idiotic law prohibiting the sale of alcohol in this manner, so I'm now at the mercy of the local vendors (and let's just say that in South Carolina, that is not at all merciful). It sucks, but what do you expect in a state that limits the number of wine tastings a business can have because it supposedly "supports drunkenness."
Actually, it is not wineries that are being "protected", but liquor distributors. The repeal of Prohibition included an exception to the Constitution's Interstate Commerce clause (only the Feds can regulate commerce among states) to allow states to regulate liquor sales and distribution. You can buy California (or whoever's) wine in New York (or wherever) but the laws in most states end up protecting the local distributors' exclusive right to sell it to the local store that sells it to you.
As someone who builds winery e-commerce web sites (the backend database/store side of things) a lot of my time is spent writing code accounting for these rules on behalf of our clients who want to stay out of trouble with the various jurisdictions.
The recent laws are actually usually not for the sake of new restrictions, but are usually meant to clarify existing law where a lack of clarity was allowing illegal sales to go unchallenged. That doesn't mean that they don't include new restrictions that didn't exist before and you can bet that those restrictions were "suggested" by liquor distributor lobbyists.
I have nothing against liquor distributors trying to protect their legally-defined turf, but the constitutional exception they rely on (unlike many of the other exceptions--insurance, etc.) exists for purely political, not consumer or public-oriented reasons.