I have always loved Champagne; my favorite (so far) is Laurent-Perrier Brut Rose which has the most delicious bouquet and beautiful color. It even comes in a Kosher version that should be at every Passover table instead of the usual grape syrup! It can not be found in every supermarket, but can be found at Wally's in West Los Angeles. This place will always have it in stock, with vintages and vignerons from the rare to the unusual. They have wines in stock here that could not be ordered by most other stores. Wally's is what I would like as my personal cellar. From a Latour that will impress the pickiest of connoisseurs (and will set you back about a thousand dollars), to a new find that will give you change back on a $20 bill, they have it all. They also have a nice selection of cheeses and breads so you can pick up some food to go with your wine and set up an impromptu picnic. You can order online or have them make a gift basket for the holidays that takes out all the work of choosing what would be best. If you live in the area, they are having a Champagne Tasting at the Merigot Hotel June 1, 2008, so sign up and go with a designated driver.
Another place I go to for all my champagne is the Wine Warehouse, which is what I would love to have as my personal vault. They have been at the same location for about 30 years, and I remember when it was only a small two aisle store that you could not wheel a shopping cart through. Now they have a temperature controlled vault within the store for their rare wines that is three times bigger than the original store! If there is something that you seek in mass quantity or simply at a good price, this is the place. If you sign up for their mailing list, you will also be able to purchase wine futures (meaning you buy at a predetermined price before the wine is produced/released). Like Wally's they also have frequent tastings, and carry cheeses, meats, and frozen epicurean appetizers to complete a picnic or party.
Above the Wine Warehouse is their restaurant, Upstairs 2. Upstairs 2 offers small bites of hot and cold tapas along with flights of wines, or small 2.5 oz tastes of wines, so you can have a different wine with each small plate. It's a fun way to try out dishes and wines without committing to a full meal and bottle. Their menu even has helpful wine guides next to each dish, so you can choose using their wine "cheat sheet". They have limited hours, but often offer special menus, so check their website before heading over for a bite.
To paraphrase Julia Child, "Champagne makes you happy." Go be happy!