The term cellar door originally meant "the door to a wine cellar," but it has come to mean "a tasting and direct sales shop attached to a winery."
It is commonly seen in New Zealand, Australia and the United States.
At the cellar door, you can sample the wines produced by the winery (sometimes for a fee, sometimes for free), and you can also purchase limited edition wines that are only available at the cellar door and original goods from the winery. If you're lucky, you might even be able to talk to the owner or winemaker.
The advantage of having a cellar door is that it makes it easier for wineries to interact with consumers and encourage them to become lasting fans.