For wine purchasing a good place is Rosforth & Rosforth. Even better is the location, under the knippelsbro bridge, very hidden.
Also nice for their professionally pleasant service and knowledge. And also for the interior.
This bookshop, Charlottenborg Art Books, found at the entrance of the art hall, has a great curated selection of both artist’ books and general art books on art, design and architecture. If you want to dive into experimental book designs from Europe this is the place to visit.