Preheat oven to 400 degrees F. Pierce eggplant with a fork in several places and set on a baking sheet. Bake for 30 to 40 minutes, or until the eggplant is soft when pressed. Cool for 5 minutes. Peel off skin and discard. Chop the pulp fine.
In a large saucepan, heat oil over medium heat. Add onions and cook until softened and beginning to color, about 5 minutes. Add the eggplant, tomato sauce, wine, vinegar, celery, olives, capers and sugar; simmer, stirring often, until thickened, 10 to 15 minutes. Chill. (The caponata may be stored in the refrigerator for up to 2 days.)
Before serving, stir in parsley and season with salt, pepper and additional vinegar, if desired. The caponata is good served at room temperature.