I think it's important to know your own tastes/palate - for example, when I lived in Europe, there were different regions which had different tasting wines...you could go dry or sweet - also, you can compare wines grown in Europe and the US - I find CA wines tend to be sweeter and fruitier than many comparable wines in Europe - I prefer a more sour or dry wine.
As for the more expensive wines, if you have a bottle of a $100 + wine, the difference between that and two buck chuck is amazing....
However, do not be afraid to send back something you don't like. I remember being in a restaurant San Francisco and they had ordered a Pinot Noir that was a medal winner and about $250 - I smelled it and it smelled moldy to me - I did not like it and wouldn't drink it. My table mates thought I was crazy (except for one) and drank it. I didn't care. If it doesn't taste good to me, I don't want it.
I've had some amazing nice wines in Europe - Slovenia, Croatia, France, Italy and Portugal - loved them. Also, had some great wines in Chile. I find US wines overpriced and mixed to taste like candy....I guess I've trained my palate away from that.