Palermo is a big area, but...
1) Av Las Heras 3500 block (b/n Paunero & Scalabrini Ortiz) across from Parque Las Heras
SALE! This place is a small shop that has some pretty nice wines and is having a sale through today where you Buy 1 bottle, get a 2nd bottle of the same wine for 50% off. That's a pretty damned good deal.
2) Av. Scalabrini Ortiz ~1600 block (definitely between Honduras & ~Nicaragua, but I think around Costa Rica) on the "odd numbered" side of the street.
This place is in an old building painted yellow (I believe... or at least it was) and has a large number of wines. They have wine tastings most Friday nights (or at least they did in the past) and go from cheap to fairly expensive.
3) Some place around Gorriti-ish between roughly Malabia and Serrano (but I'm thinking more specifically between Armenia & Gurruchaga)... it could even be on Cabrera between those other streets.
Much more upscale setting, and somewhat reflected in the prices. Elegant wine shop.
4) Mercado/Bodega on Darwin ~1550 (b/n Gorriti & Cabrera)
Good deli (for here), Verduleria (in bulk), dried goods, eggs by the 30 palette... but they also have a ton of wines. Mostly big name brands and I don't think that their prices are particularly great or bad or whatever.
It's a good shop to check out and know about.
5) La Cava Jufre (Jufre 201 on the corner of Julian Alvarez... technically Villa Crespo)
http//www.lacavajufre.com.ar
This place is more of a wine bar that opens from ~12pm-2pm during the week so that they can prepare for the night and then is open ~6pm-midnight.
However, they also sell bottles to be taken away and the prices are fairly reasonable for a bodega and extremely reasonable for a wine bar. (I believe that there is a AR$10 corking fee.)
So that's what I've got.