Also, in case you're thinking about maybe trying to hide it in your suitcase, it's not worth it. All baggage (checked and carry on) is screened, just like at airports. If they see something, they will call you down, and you will have to explain why you have alcohol in your luggage. Like Dave stated, if you do bring alcohol onboard, either at embarkation or in a port, you must inform the security personnel, and they will stow it, and return it to you either on the last evening of your cruise after dinner, or the morning of debarkation.
If you purchase wine by the bottle at dinner, they will tag it, and save it for you for the next night. You may be allowed to bring a glass back to your stateroom once you're done, but you will not be allowed to bring the bottle back to your stateroom.
2007 - Majesty of the Seas (Bahamas)
2009 - Enchantment of the Seas (Western Caribbean)
2010 - Freedom of the Seas (Western Caribbean)
2013 - Golden Princess (Alaska, roundtrip from Seattle)