Thanks for the replies. We're going to the Datai in Langkawi and from memory, the last time we stayed there 3 years ago the cheapest wine was around £35 a bottle. I've looked up the duty free allowance for Malaysia and it's only 1 litre each, so I'm not sure whether to risk taking 3 litres now.
We intend hiring a car for a few days halfway through the holiday so we'll be able to stock up then, but we do like the odd glass or two on holiday and even one bottle a night for the first five nights would probably set us back around £200. Can't remember seeing a liquor shop in the arrivals side of the airport last time, but then we weren't aware how much we would have appreciated it before we saw the prices at the hotel!
In answer to No 6, we certainly aren't wine snobs and I'm not sure what sort of wine you get in boxes in New York, but here in the UK we can get some very drinkable ones for around £20 a box!