There are lots of wineries around Kentucky, which shocks those who aren't really familiar with the area. Did you know that America's first commercial winery was started in Jessamine County, Kentucky in 1798?
For sentimental reasons (I got married there), Chrisman Mill Winery is one of my favorites. It's just outside Lexington and produces some pretty good wine. My favorite is Ensemble. They also have AMAZING food. If you're ever around town during their Tuscan Dinners, you must go (and take me with you).