Fino and manzanilla stimulate the appetite and complement light opening foods. Amontillado is a superb soup or salad course choice. Dry oloroso can go with lamb or stew main courses. And creams bring life to desserts. Ports and madeiras are best kept to after dinner, except for white ports which can be served as an aperitif.
Some ports go well with chocolate.
Distilled spirits are usually best on their own. I should point out, however, that there is a growing movement in the U.S. which espouses whiskey being paired with three or four courses of a meal. I've hosted several whiskey and food events in the last couple of years. I've been surprised at how well small amounts of single malt Scotch or bourbon can bring a new dimension to certain types of food. The evenings have typically begun with lighter whiskies being served as aperitifs or with light, usually salty hors d'oeuvres.