I started up a small local tasting group in late 2008. We always taste blind, and rotate the theme every month (the previous WOTN bringer picks the next theme).
It's always hosted by a small local wine shop, who's owner I'm friends with. She sells good/simple bistro food, but there is no requirement that any of the wines come from her shop, but it's always appreciated.
The owner advertises the group in her news letters, but there's a core group of about 10 who make it most months, and a few others who drift in and out. Every month, there's a new person or two. Most months have 10-15 participants.
Early on, I'd wanted to have the wines come from price points in the $25-$75 range or so, and stipulated so in original event. But, I quickly found that more than a few people hit the local grocery on the way over for whatever's on sale for $10 or under. On occasion, a modest bottle from Trader Joe's ends up WOTN. All part of blind tasting.
Now, most bottles tend to be $5-$25 wines, occasionally $40 or $50, very rarely more or less. Blind tasting minimizes the "look at my label" snobs who just want to show off. Nothing like having a $50 bottle get crushed by an $8 one to make one humble.
Each month (last Thursday) I really look forward to the events, we have a great time. Decide what your sensibilities are, plan accordingly, but be loose in your vision/expectations for the group.