The compostion of wine changes dramatically when it is cooked (or so I've been told), so it won't really matter. I usually pick one of the less expensive ones to cook with.
The old French maxim is "only cook with wine you would be happy to drink yourself". I tend to use dry white, or maybe a Riesling for fish, chicken and rabbit, and Cabernet Sauvignon or a Burgundy for beef and lamb stews.