I'd second this, and say that the most interesting and various wines can be found around the 15 euro mark.
In Australia (Where red wine snobs like myself abound) the best local wines are usually around the $20 mark. You can pay hundreds of dollars for Grange, but if you're going to spend that money I'd prefer to go for something like the Wild Duck Creek Duck Muck (Awesome wine, way too expensive).
My current favorite is actually the Artigiano Primitivo from Puglia in Italy. $17 at the local bottle shop, and absolutely brilliant :-)
For those interested in Californian Zinfandels I'd highly recommend looking into Primitivos:
"In 1993, Meredith used a DNA fingerprinting technique to confirm that Primitivo and Zinfandel are clones of the same variety. Comparative field trials have found that "Primitivo selections were generally superior to those of Zinfandel, having earlier fruit maturity, similar or higher yield, and similar or lower bunch rot susceptibility.""
[1]: http://en.wikipedia.org/wiki/Zinfandel#Relationship_to_Primi...
French wine can be found among the same lines, just have to check less 'popcorn' regions, like Jura, Beaujolais, Loire and Languedoc.
In short, the price of a wine, is not correlated to it's quality most of the time. Like the cover of a book is not correlated with what's written in it. The most exciting wines being made today, the most radical guys, in search of true terroir, are making wines that are not that expensive.
PS: Gallo's wines are shit, avoid those chemical bombs.
Cheers!!
But Italy is a privileged place to buy wine.
Living in London, I noticed that cheap wines (5-10£) are truly awful and it's almost impossible to find good cheap wines. Also, European wines tend to be worse than African and South American ones (no idea why: maybe Italians keep the good stuff only for them?).