Right at the terminal, upstairs, there is a shop where you can get some decent wines very cheap! I just bought 4 bottles of Pinot Grigio for $16.00 in November. They are doing some construction in the terminal and you have to take an escalator up there but you can find some great deals.
Near the pier, if you walk to the Plaza de Armas - San Juan's main square, on San Jose street - there's a Pueblo supermarket. It is a short walk to the pier. I didn't notice their prices but they do have a large selection of wines. My guess is that they would be cheaper than you would find in the duty-free stores.