Note: bottle refers to 750mL bottle unless otherwise specified. Prices are given as examples only and are based on my part of the US.
Brandy is a spirit distilled from fruits. If the fruit is not specified, grapes are standard, but it's easy to find Apple, Apricot, Plum, Peach, and essentially any other fruit. Cognac is a popular form of Brandy.
Cognac is always aged at least two and a half years in barrels, not bottles as cognac gets its color and taste from the barrel itself. Cognacs are often blended with older batches, but are labeled according to the youngest component in its blend using the following designations:
VS: Very Special (2 1/2 years)
VSOP: Very Superior Old Pale (minimum 4 years)
Napoleon: Minimum 6 years
XO: Extra Old - At least 6 years, often much older
Many people are happy with cheaper cognacs, but I've found that I only really appreciate the cheaper XO's, such as a bottle of Remy Martin X.O. I picked up for $90 as a present recently. You can spend thousands on cognac, but I don't have that kind of money to spend, even as "research."
I enjoy cognac at room temperature straight, though it can often be blended with sparkling or tonic water and/or put "on the rocks" for sipping. One time I mixed a cheap brandy with sprite and found it tasted like a good ginger ale. As with most liquors, the more you blend it, the less quality you need to use.
Gin is very pure distilled alcohol with flavors such as juniper added later. Allergies to juniper are common, so one should be careful having gin for the first time.
Gin is frequently used in martinis or in gin and tonic. A gin martini generally has a touch of vermouth, but is essentially straight gin.
Personally I don't enjoy the taste of gin much, but it seems that a lot of people like Bombay gin as a reasonable quality inexpensive variety at about $10-15/bottle. This makes it one of the cheaper liquors to consume.
Rum is generally distilled from sugar and traditionally comes from the carribean. Frequently rum is flavored after distillation, either with spices, coconut ("malibu rum"), or virtually any flavor. Although rum is normally 80 proof like most liquors, 151 proof rum is common, and I've seen intermediate proofs such as 120. Rum can be dark or light.
Rum drinks are often considered "girly drinks" as many come with a paper umbrella. Don't let this classification fool you - they are often very strong. My father has a story that he was in Jamaica on his honeymoon sipping down Planters Punch, which is generally made with a lot of rum, sometimes some triple sec, and a little juice. He spent most of the mornings with a nasty headache and he couldn't figure it out since all he was drinking were fruity drinks. Be warned - rum makes it easy to forget how much you are drinking and sugar aggravates the hangover.
My favorite thing to do with rum is take a generic frozen juice concentrate, add about 6 ounces of rum (include flavored rum if you want) and fill the the blender with ice and blend. Serve in pretty glasses with little umbrellas and you have a nice cocktail to have fun with. If you only make one blender worth for 2 people, you should be fine. Don't lose count though.
Rum is cheap. Stay away from plastic bottles, but other than that, go with what you want. This is assuming you don't want to sip it, which some people do, but usually rum is used in mixers, not straight.
Tequila is distilled from the agave plant in Mexico. Tequila is actually a form of a larger category known as Mezcal. Cheaper forms of Mezcal will have a worm, tequila does not. You can find silver tequila, but gold is more common. Most tequila is not aged, but if you find the term Anejo on the bottle, it means it was aged for at least a year. The taste of anejo tequilas is vastly different from those that aren't aged, so even if you think you don't like tequila, you should try something anejo.
Tequila is also used in fruity drinks, such as margaritas or mixed with juices. If you are drinking tequila mixed with something, it is less important to have good tequila. However, if you are taking shots, try something a little better than Jose Cuervo.
Different brands and types of anejo tequila have very different flavors, since they are aged in varying containers. You can expect to spend around $40 for a decent aged tequila, but you can certainly spend much more. Herradura Selleccion Suprema goes for $200/bottle - I saw it in a restaurant once for $25/shot, but never tried it. I've heard it's worth the money, but I will stick to my $40 bottles.
There is much more to tequilas, some of which can be learned at this tequila page.
Ahh, vodka. It's great - it can be distilled from absolutely anything. Many people associate potatos with vodka, but in fact most vodka sold in the US is distilled from grain. The factors that most influence how good vodka is are how many times it is distilled and how pure the water added is. All vodka is watered down from 190 proof to the 80-100 range.
The better a vodka is, the less you will taste it. Vodka is best straight, chilled. You can store vodka in the freezer, it will not actually freeze at that kind of temperature. Shoot it, sip it, put it in a martini glass, whatever.
Flavored vodkas aren't great straight, but mix well. Many people mix vodka with juice, such as a Screwdriver (vodka and orange juice), or with milk, such as a White Russian (vodka, milk, coffee liqueur). My favorite thing is to mix vanilla flavored vodka with diet coke. Then again, with vanilla diet coke scheduled to come out in September, maybe i can stop buying vanilla vodka. Red Bull and Vodka is very popular these days, but be warned, the sugar in that mix is a recipe for a hangover.
Most of the vodkas you will see on the shelves these days have pretty bottles and cost a lot of money. These really aren't any better than Absolut, and are inferior to Stolichnaya. There are certainly better and more expensive brands than these, but I find Stoli to be at a great price/enjoyment point for me. At $15-20/bottle, this shouldn't break a working persons budget. Under no circumstances should you buy vodka in a plastic bottle. That is, unless the drug store is out of rubbing alcohol and you have to clean something.
Whiskey comes in many forms (and two spellings), such as Irish, Scotch, Bourbon, Rye, and Canadian. They are all exceedingly different. Personally I find most whiskeys too harsh and they aren't frequently mixed down with anything.
One could write a whole article on Whiskey, or even one on just scotch whiskey, so I could hardly do the subject justice as a section in this article, even if I enjoyed whiskey.
Each type of whiskey is sufficiently distinct that one should try all of them (not at the same time) before dismissing the whole class. Many people will only drink one type of whiskey and dislike all of the others.
Liqueur and Wine Apertifs
Liqueurs and wine apertifs are not spirits, but are frequently mixed with them. They vary in alcohol composition, typically anywhere between 20-80 proof.
A common wine apertif is vermouth, which is mixed with gin in martinis.
There are so many times of common liqueurs it's hard to list them all. Generally they are sweet and you would not want to drink them straight, but some, such as Amaretto, are acceptable straight. I've sipped Godiva Cappuccino Liqueur before as well, but it's definitely meant to be mixed with something.
Triple Sec is another common liqueur, as is its cousin, Blue Curacao. They have an citrus like flavor and are mixed in lots of things, including margaritas. Blue Curacao is very very blue, and can make pretty mixed drinks. Vodka with a touch of blue curacao and grenadine (a cherry-flavored red liqueur) makes a pretty purple drink.
Liqueurs vary in price, but most aren't very expensive and last a long time.
"Proof" is a term equal to the double of the alcohol content. Therefore an 80 proof alcohol is 40% alcohol. It is impossible to have actual 200 proof alcohol because it will absorb some water from the air. A "shot" is 1.5 ounces, so you get about 16 out of a 750mL bottle.
A good reference for drinks of all types can be found at Webtender. If you are interested in making mixed drinks, this is a great place to go.
Moderation is very important. Know the alcohol content of your drinks. For example, Long Island Iced Tea is almost pure alcohol at 80 proof. One glass is like having 4 bottles of beer.
If you are drunk, drink lots of water before you go to bed. There are dozens of hangover cures, but dehydration is one of the main causes of a hangover and some water never hurts anyone.
Stick to one type of alcohol. It's much easier to count, and is less likely to make you sick. It's a good idea to keep count, which some people do with lemons on the glass or similar tricks. Getting sick is not fun and can happen to anyone.