+1 to this. Wines whether cheap, expensive, or anything in between, vary tremendously in how sweet or dry or acidic or otherwise they are and could have widely varying effects on the dish you're making. The more wine there is in a dish, the more your choice will matter. If it's just a tablespoon in a sauce, it's not a hugely important decision. If you're marinating a whole roast in a wine-based marinade for days and then preparing a wine-based sauce, you may want to use the same wine you'll be serving your guests for both the marinade and the sauce so the roast and the wine go together that much better. There are plenty of dessert recipes using wine that don't always involve cooking the wine down so, again, your choice can matter a great deal.
If either you're not working from a recipe or the recipe gives little guidance, consider making three mini-batches of the sauce with three different wines and compare the taste before you decide on the one to use for a sauce served to others.