LI Wine Vineyards
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.
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.