Wine is very similar. Price does not equate quality. That said, a very good $10 bottle of wine will be less quality than a very good $30 bottle. It's confused by the fact that there are some pretty outstanding $10 bottles and some pretty horrible $30 bottles.
I used to have a $10 favorite that is really solid but started venturing into $15-20 territory and there is a definite quality difference you might not notice if you are new to wine.
But wine is far more pretentious than beer and it's best not to get wrapped up in that world. Just drink what you feel tastes good. You'll notice that as you drink more, your tastes change and it's good to try new things.
It's pointless to drink a bunch of expensive wine if you haven't experienced much. It takes time to develop an understanding of the varieties and flavors to look for in order to really appreciate what a more expensive wine may offer (or an outstanding cheaper wine!)