Mark,
Despite Austin's reputation as a "weird" city, the wine-buying clientele is largely uninterested in odd-ball, off-beat wines.
For that reason, good wine shops are scarce; there are really only two. Austin Wine Merchant has some good stuff and has access to lots more. They are strong on Burgundy and Germany, much weaker on Loire and Jura. Can't comment on the California selection since I don't ever buy them.
The other store is Twin Liquors; they have two "show-piece" stores with lots of trophy wines. One store is at the Hill Country Galleria about 15 miles west of Austin, the other about 5 miles north of downtown. I haven't been to either store, as a good friend manages a smaller branch near my house. (PM me for details)
Restaurants with great lists (not necessarily great food!)
First off, you should know that it is illegal in Texas for a restaurant to buy wine at auction. So, all the restaurants have to buy only through licensed distributors, and that necessarily limits the breadth and depth of their lists.
Best list is at Congress, a new, high-end restaurant in the Austonian at 2nd and Congress. June Rodil is the sommelier, and she really knows her stuff. Wine prices are fair, with lots of gems in all price ranges. I'm not wild about the cooking, and it is pretty expensive, even by New York standards, so I don't go all that often. [As an aside: Second Bar and Grill is the down-scale version of Congress. Prices are much more reasonable, and there are some good wines on their list.]
Paggi House has a very good selection of Burgundy, much smaller selection in other areas. Prices on the Burgundies are fair. I cannot comment on the cooking, as I haven't eaten here. Again, reviews from some people I trust have not been particularly favorable, so I spend my money elsewhere. If you go, please let me your opinion.
Uchk/Uchiko have very good wine lists, and the cooking is superb. (They have Puffeney on the list, how can it possibly get any better!) Moderately expensive and worth every penny. Hard to get a reservation right now with SXSW in full swing, but sit at the bar at Uchiko and have fun. Vibrant bar scene, btw.
Olivia has a good wine list, with occasional flashes of brilliance. They had Occhipinti's wines long before they were on the shelf on any wine store, and they sometimes get older bottlings of Paolo Bea and Texier. Cooking is variable; sometimes great, sometimes not so great.
At most other places, drink beer (the local brew pubs are very good), a margarita, or any thing BUT wine.
If you need any additional advice about food in Austin, let me know.
Andrew