Here is an excerpt of a discussion of a study which discusses why more expensive wine tastes better partly because we expect them to.

Neuroscientist Hilke Plassman led a brain-scanning study [pdf], shortly to be published in the Proceedings of the National Academy of Sciences, where volunteers were asked to taste and rate five different wines, each individually priced.
What the volunteers didn’t know was that there were only three different wines, and two of them were tasted twice. One one occasion it was described as costing $90 a bottle, on another as costing $10 a bottle.
The volunteers rated the ‘more expensive’ wine as significantly more likeable despite being identical to the ‘cheaper’ wine.

Interestingly, there was no difference in the brain areas directly related to experiencing taste, and the researchers suggest that the belief that the wine is more expensive probably doesn’t directly change our sensory experience, but leads us to think that the experience is more ‘valuable’.
The results echo behavioural studies which have found that wine the same wine is rated differently when served in different quality bottles.
Link to write-up from The Times.