Do not go to the grocery store and buy Holland House Marsala Cooking wine. It is disgusting and has nothing to do with true Marsala wine. The real stuff is not too spendy. A decent bottle will run you about $12. It is a fortified wine and in some states this means you need to find it at a liquor store. I prefer a sweet Marsala wine but you can choose a drier version if you like. The sweet version brings out the flavor of the shallots nicely!