Supermarkets & shops
Most local supermarkets sell at least a couple of Lanzarote whites (El Grifo, Vega de Yuco) and Tenerife reds (Viña Norte) but you have to visit large local supermarkets such as Hiperdino, Eroski, Alcampo, Carrefour and Hipercor to find Gran Canaria wines. Mercadona doesn't bother selling any decent wine at all, Canarian or otherwise.
The El Corte Inglés department store in Las Palmas has a huge and well-curated selection in its supermarket and Club Gourmet while its independent Hipercor and Supercor supermarkets also sell a selection of quality Canarian wines. Anything you buy here will be quality but the Gran Canaria selection on offer is shamefully small.
Most big shopping centres outside the resorts have at least one gourmet shop selling ham, chorizo and wine. They all have at least a couple of good Canarian bottles. Quality souvenir shops also stock Canarian wines but do check the dates on their whites; Anything older than three years is best left on the shelf (unless it’s an albillo).
Buying wine at Gran Canaria airport is the last resort. The local produce shop has a lot of wine, but it’s overpriced (50% above supermarket prices) and the whites are often out-of-date.
Local markets and food fairs are an excellent place to buy wine; The wine stall at Santa Brigida in the hills behind Las Palmas sells wines from GC, Tenerife, Lanzarote and La Palma and the owners taste everything they put on display.
It’s a good place to buy the classics and to find decent Gran Canaria wines from the local Monte wine area. Prices are a couple of euros above supermarket prices, but the curated selection is worth the price.
Also in Santa Brigida, the Casa del Vino restaurant is the only one on the island that only serves Gran Canaria wine. The attached Casa del Vino museum does tastings and sell local wines by the bottle.
San Mateo market a bit further up the hill also has a wine stall (by the main door) with a small but quality selection of local and Canarian wines.
Another option is to go directly to the wineries. Most will welcome try-and-buy visitors on weekdays, but there are some grumpy exceptions (finding out which ones is all part of the fun).
These three wineries are open during the day to drop in visitors.
Las Tirajanas winery in the hills behind Playa del Inglés and Maspalomas does a great wine and local food tasting and winery tour. Its varietals are a great way to get to know the local grape varieties.
Los Berrazales winery just above San Pedro village in the Agaete Valley also does morning tours (it's where all the cruise ship passengers go) and it's Berrazales brand dry white and tinto are decent.
Hoyos de Bandama: Right by the entrance to the Bandama Caldera walks in the Monte region, this winery has an elegant tasting room and opens every day except fiestas. Its wines, made mostly from Gran Canaria grapes but also with juice imported from Tenerife, are excellent. The dry white is superb.