Here are my thoughts on Hi-Times, Wine Club, and Wine Ex. I might be a bit biased, since Wine Ex is closer to my home, but I will try my best to be unbiased in evaluating the wine shops of OC.
Wine Club - Great selection of new releases. Fantastic prices. One of the best places to purchase Bordeaux, Sauternes, and other highly regarded foreign wine futures. Small vintage collection. Saturday and Sunday wine tastings from the new releases, wine makers, and staff selection is hard to beat. The staff is knowledgeable, but the turnover is very high there. Don't expect the person who helped you with your holiday wine selections be there the following year. Sadly, the SF and Santa Clara stores do not have the same problem. No hard alcohol.
Wine Ex - Awesome selection of new releases, as well as a diverse selection as a whole, with many hard to find wines. Fantastic prices, that only one of the largest internet retailers could ever achieve. A good place to buy futures. Not much of a vintage collection. Tastings on the weekends. The staff is extremely knowledgeable, and the turnover is so low... I could swear that some have been there since I was a kid when my dad would drag me there promising to buy me a toy later if I behaved/put up with him scouring their selections. I have never been steered wrong here, and EvaL can attest to some of their recommendations of their's that I have had. Great hard alcohol selection, with great prices.
Hi-Times - The best selection of wines, with some of the hardest to find wines in OC. You do pay for that premium here. Decent place for futures. The best vintage collection I know of. Great tastings on the weekends and during the week. The staff is very knowledgeable, and the turnover is low. So, if you find someone who gives you good picks, then when you come back they will be there to do it again. Amazing hard alcohol selection, but their prices are higher than most.
Another place not mentioned is Dome Liquor in Fullerton. I have found <a href="http://www.lazycreekvineyards.com/">Lazy Creek's pinot</a> and <a href="http://www.lamborn.com/lambornfamily/index.jsp">Lamborn's zin</a> there. None of the above had either of them.