LI Wine Vineyards
Try Paumanouk on Route 25. Right around this time last year I was there, & they were having some sort of harvest festival. There was plenty of free cheeses, bread, crackers, & music. One of the owners even baked some homemade onion tarts. They also offered a very informative tour of their wine-making operations. Definitely worth a visit.
My personal favorite is Osprey's Dominion right on the main road in Cutchogue (or thereabouts). Lots of different wines and consistently terrific. Excellent tasting room experience. Pellegrini is real good, also - more of an upscale atmosphere. You can't really go wrong with any of these. There is also a tasting room for Terhune Vineyards in a storefront in Greenport. The vintner does only red wines and does them very well.