Use a good quality red wine you would actually want to drink. It doesn't have to be expensive to be good. I've used a pinot noir and Malbec before, with both adding the rich flavor this dish is known for.
If you don't have cognac, you can leave it out if you'd like.
This dish's flavors deepen over time. Cook it in it's entirety one or two days before serving, refrigerate and rewarm to serve. Or, cook through the stovetop steps a day or two ahead then finish in the oven the day you'd like to serve.