I went on NYE a few years ago with my DH, I couldn't handle my wine at the time though so gave most of it to him, ha, what a waste of a trip! We did enjoy it though and I think it would be a great thing to do with the girls!
I went on a work night out to Vinopolis in London (not sure if there are any other ones?) about 3 years ago and I loved it! I was impressed by how many wines they had and the layout of it all, it was much better than I expected, I think it would be great for a girls weekend!