Also if you can get a bunch of friends together who are also interested in learning wine or already knowledgeable or both and have a big tasting party where everyone brings something different you'll get to try a lot of wines without wasting any. Note what you like and don't like and go from there.
I also used to attend wine expos to try a lot of different things but lately the crowds seem larger and more rude than they used to. I have discovered some great wines at these and most major cities have them. Lot's of wine stores also hold smaller scale tastings which may be the better way to go, you'll get more interaction than at the huge expos and if you like what you're having you can buy it right there.