Hard to disagree with any of the previous responses. So I'll reinforce what is already stated and hopefully add a little more insight.
Never cook with a wine you won't drink.
In some cases, the wine is a primary ingredient. I make a saffron cream sauce where I use chardonnay as a primary ingredient. I have found the sauce if dramatically better when I use the good stuff!
It pains me in the wallet... but it does pay off on the palate!
I agree with the vermouth idea... try the sweet vermouth also, especially if the dish inclorporates some hot pepper... the contrast between the sweet and the hot makes for a tasty combination.
For white wine cooking, I like to use bordeaux because it is a blend primarily of sauvignon blanc and semmillion. It provides the fruit I like to impart without the addition of any sugar or taste of oak. as stated above I also use chardonnay.. but then I am looking for different flavors to include.
For red wine cooking, I use whatever is left over! But the use of red wine in my cooking is far less frequent than white. When I do go red, I usually want some sugar so I'll use port and often augment with a little brandy as well.
There are a variety of other wines to cook with and each adds their own character, as suggested, experiment with sherry as well as port, marsala and others.
I hope I added something to the already reat responses!