Felix Salmon has a bunch of great posts on the ups and downs of blind wine tasting on his Reuters blog. A few excerpts below, emphasis mine throughout.
From "The Negative Correlation Between Wine Price and Quality," 2008.14.26:
Eric Asimov thinks that wine is like film or literature: the good might not be popular, and the popular might not be good. Which may or may not be true – but no one tries to charge higher prices for better films or better books. He does however make another good point: that the real finds in the wine world aren’t the expensive famous wines or even the cheap famous wines but rather the tiny artisanal wines which have a personality and uniqueness which defies pricing. If you find a wine you really love, then it’s likely to be worth spending money on. But if you find a wine which everybody loves (Dom Perignon is the example in the book), then it’s almost certainly overpriced.
From "Tasting Wine Blind," 2009.09.12:
In any case, the various different factors which go into the enjoyment of a wine are so multitudinous that when you try to eradicate them all in order to allow different wines to compete on a level playing field, you at the same time eradicate much of what makes a wine so enjoyable in the first place. You might love your spouse’s [insert body part here], but it would be pointless and invidious for someone to test that love by presenting you with a series of carefully anonymized body parts and asking you which one you liked the most.
And:
What is blind tasting good for? Well, for one thing it’s very good at showing how important knowledge of price, as opposed to price itself, is as a contributing factor to a wine’s perceived quality. If you know that a wine you’re drinking is expensive, you’ll probably like it much more. If you’re deceived into thinking that a wine is expensive (if someone poured Yellowtail into a Lafite bottle, say) you’ll like that much more, too. And if someone poured Lafite into a colorful screw-top bottle, you’d like it less.
When I say, then, that in wine there’s no correlation between price and quality, what I mean is that there’s no correlation between price and quality except for in the 99% of cases where in fact the correlation is very strong — the cases when you know, more or less, how expensive the wine you’re drinking is.
I’m trying to train myself out of that ingrained mindset, by drinking quite a lot of cheap wine and buying large quantities of the good stuff. And there really is a lot of good cheap wine out there. But I know that I do still have the same prejudices as everybody else, no matter how much I write about negative price-quality correlations. If I open a cheap bottle and I don’t think much of it at first, I’ll assume it’s not very good. On the other hand, if I open an expensive bottle and I don’t think much of it at first, I’ll let it breathe, I’ll revisit it later, I’ll try to see if I can discern some subtlety and sophistication which might not have been immediately apparent. And if I look hard enough, I’ll probably find it.
Also of note: In 2010, Salmon wrote a great post on how he structures his at-home wine tasting events. I've been wanting to host something similar for a while, and will definitely be taking his format notes into consideration.