I have a friend in Denmark who told me he buys a danish beer from Germany and has it shipped to him in Denmark, because its cheaper. I thought that was pretty interesting in itself.
Finland has even more idiotic rules: microbreweries aren't allowed to sell their wares online. So they ship them across the Gulf of Finland to Estonia, which is way more liberal, and sell them online from there, which Finland can't prohibit thanks to EU free trade laws... and then the orders get shipped right back to Finnish buyers!
Remember though that this is tax fraud if you exceed certain quantities, while airline price discrimination is legal, so it's not quite the same thing :)
Are you sure of that? Certainly you can bring with yourself (for personal use) as much alcohol as you want across any EU border, and I'd be surprised if it became a fraud at some point just because it's shipped for you.
This kind of airline price discrimination, however, is not legal within the EU.