This study from the "American Association of Wine Economists" (as an aside, who knew such people existed, and what are their lunches like?), and its all scientific and everything, explains in excruciating detail, with graphs even that, well, let them speak:
Our main finding is that, on average, individuals who are unaware of the
price do not derive more enjoyment from more expensive wine. In fact, they
enjoy more expensive wines slightly less.
Two-buck chuck, here I come.
If you actually read the paper (not recommended without a bottle of your favorite plonk nearby) you'll also find out that if you think that wine A is more expensive than wine B, you may, indeed, prefer wine A. Paper bags all around, or that old standby, pour the cheap stuff into some expensive bottles you found lying around. Everyone will enjoy the fun!