Since wine plays such a big part in my life, it should come as no surprise that I do cook with it from time to time. Putting aside the jokes about "cooking with a glass of wine", I do find that wine can add a lot of a recipe. And as Chef Jerry Pellegrino points out, there are a number of things to keep in mind when you start pouring wine into the pot.
I think the preeminent question is how good should cooking wine be? Some people with perhaps more money than sense say you should cook with the same wine you're serving. That may be fine for a $25 bottle of merlot, but if you're pulling the cork on a $250 bottle of Bordeaux, you ought to think twice.
The best use of wine is to drink it from a glass. No one has ever said that boiling a wine will increase its subtlety and nuance. But the adage "never cook with a wine you wouldn't drink" is actually wise.
Here are some of the most frequently used techniques for cooking with wine.
Making a marinade; making a braising liquid, steaming, using in a stew or soup; deglazing a skillet or making a wine reduction sauce; and poaching.
For many of these techniques a good box wine will work just fine. Today's box wines are quite palatable and they are cheap. On occasions, I would recommend matching the kind of wine you'll be drinking with a cheaper equivalent. And ever so rarely, I think using a good bottle is justified.
For a marinade, the point of using wine is first and foremost to introduce acid into the liquid. Good flavor is a plus, but it's the acid that will break down tough meaty tissues. Box wine is just fine.
A braising liquid once again finds help from wine's acidity. Since the alcohol will evaporate, the elements of the wine's flavor, including tannins, will remain. But they will change significantly. I would recommend a very fruity high acid red wine for braising. Beaujolais, grenache or a fruity shiraz work very well. Box wine versions are fine.
I recently made fish "en papilotte", a technique that uses wine to steam the fish inside a parchment pouch. A lot of the wine will remain and it will blend with dabs of butter, herbs and aromatic vegetables to make a lovely sauce. I used Boordy Vineyard's Albarino, which I also served to my guests. This is a case when the wine should be as tasty as you can afford.
Adding wine to a simmering stew is a no-brainer. But be careful to add it sooner rather than later. Slightly cooked wine, added at the end of cooking, can be off-putting because it becomes bitter and doesn't blend in with the other flavors. Again, I would opt for the box wine, and I would go as big as I cared to.
As for soups, we have a long-standing tradition of stirring in a tablespoon of sherry or Madeira just before serving. Since only a small amount is called for, you can use a pretty good bottle, which of course you can reseal for later enjoyment.
One of the basics of French cooking is deglazing a pan that has been used to sauté or sear a protein. Once you pour off the excess fat, there are inevitably little "brown bits' left on the skillet. These little morsels contain abundant flavor that should never go to waste. According to Julia Child, one of the best wines to use for deglazing is white vermouth. Pour it is, scrape up the little brown bits, stir it over high heat and let it reduce. And let it reduce dramatically. You want to concentrate flavor so that when you add the deglazed reduction to a sauce it will have impact.
Finally, when making, say, a red wine reduction for a sauce, I think you would be justified in using pretty good wine. If you are serving that expensive Bordeaux, use an inexpensive but flavorful cabernet sauvignon for the reduction. Of course you can pour in a hundred dollars worth of wine into your skillet, but don't expect the nuances that mark a Bordeaux's quality to remain unscathed.