Spiral Cellars makes custom wine cellars that cost around $55,000. They're dug into the ground, have retractable ceilings or trap doors, spiral staircases, and can hold up to 1,900 bottles of wine.
One occasionally sees, cut into the side of a hill or lying flat next to a home's foundation, a door ... basement (or a tall crawlspace), one affordable option is to simply build your root cellar ...