Learn about Madeira wine: from how it tastes, to the different styles and to advice on Madeira in cooking and cocktails. Madeira is one of the few wines that hasn’t changed since it became popular over 200 years ago.t gets its name from the island of Madeira, a small, beautiful rock in the middle of the Atlantic Ocean. Madeira’s unique taste comes from repeatedly heating the wine. The heating creates a wine with fascinating flavors of roasted nuts, stewed fruit, caramel, and toffee.