It's a big pain in the ass, but if you
short-circuit the system you put yourself at risk legally.
Operating a winery is the third business I've done, and it's not a
whole lot more of a pain than any of the others. The 23 forms the TTB
(use to be ATF) has you fill out can be intimidating at first, but
it's little more than just sitting down and doing it.
Others have pointed out some of the more important aspects of the
legalities involved with opening a winery. I thought I'd add that it
takes much more than just winemaking skills to open/operate a winery.
Best to be versed a bit on business matters before taking the big
leap, especially marketing. I'd place my bet for success on someone
who had business skills over winemaking!