The Wining Butcher.... Johnson's Market (New Durham)... and the State stores come to mind...
Here's a link to a great little blog about good wines for under $20:
http://goodwineunder20.blogspot.com/
I've had some great wines that don't cost over $15 and some crap that was over $40/bottle. Good wine doesn't have to cost a fortune.
For Thanksgiving I recommend an American label Pinot Noir, Pinot Grigio, or Riesling.