Go refrigerated temp controlled all day every day. No offense to the cool brew bag, but that's for people who don't have the space or money.
Since you said you're considering it, I presume you have 125 bucks for the wine cave (I'm assuming this is a typical refirgerated system) and if you can dial in the temps you won't need a temp controller.
But since you asked, I ferment in a chest freezer that holds the same as the wine cave you mentioned, with a 2 way temp control. I got the freezer for $60 on craigslist (I do not live in a big city, so I had to watch the listings, but they come up all the time still) and although my temp controller was given to me, you can do the ebay controller for pretty darn cheap. $20 bucks for the controller or so, and a little wire and you can have the same thing, not as funky for cleaning as the wine cave for $80 + wiring of course.
Even if you have to spend a little more for the chest freezer, you can still come in under budget of 125, and temp control is awesome. It enables you to brew what you want, whatever season you want to brew it.
For the heater side of the temp controller I use a 40W lightbulb.
First Brew was thanksgiving 2011, I'm at 63 batches and counting (as of 11/29/13), and ran out of room in my signature to list them all.