Yesterday, Eating Our Words, the Houston Press food and wine blog, posted a good article about Texas wine law: http://blogs.houstonpress.com/eating/2012/10/wine_shipping_illegal_texas.php
That article links to others which can give you a good primer on the subject.
In short, Texas wine law is crazy. And it's one reason why you may read wine reviews online and not be able to find those wines locally. I plan to start posting some tasting notes soon, and when I do, all the wines I review will be easily available in the Houston/Clear Lake area.
As far as buying wine online, it can be a wonderful resource, but use caution! High temperatures are the enemy of wine, so for most of the year in Houston, you don't want your wine carted around in the back of a non-air-conditioned UPS truck. Make sure the shipper has vehicles with a/c, or confine your orders to the months of November through February!
Update: Here's a follow-up from Eating Our Words and Jeremy Parzen on how to ship wine legally: http://blogs.houstonpress.com/eating/2012/10/wine_shipping_california_texas.php