That's right. Don't.
Now, I'm not advocating that you break the law, but as Paul Mabray points out in this smart post over at the REthink (Inertia Beverages) blog, the 80/20 rule (Pareto's Principle) applies to direct shipment. It's simply not worth agonizing over the onerous direct shipment laws of some states. Just don't ship there.
As Paul implies, you should know which states are most important to you (i.e. states having the customers who order big or order often), and focus the bulk of your marketing efforts on getting your best customers to "flip the funnel."
(As an aside, it would be cool if someone put up a Web page where a wine buyer could input their ZIP Code, see the restrictions placed on wineries that want to ship direct to them, and send an e-mail directly to their state senator/representative if they don't like what they see. Wineries could link to that page for states to which they have chosen not to ship.)