If it's more expensive, the warmth from your hands could cause it to get too warm and that could make it taste worse. Unless, of course, you're using those plastic champagne glasses they have for New Year's. Then your hands aren't affecting it, but if they're too narrow and it's a red wine it might not breathe well enough.

Of course, none of those considerations matter if it's cheap wine, because the difference in taste isn't that great and you're not sinking lots of money on it anyway so who cares?