I'll echo those who say that expensive or exotic doesn't necessarily mean the only game in town. Sure, they're fashionable and a great thing throw around at dinner parties, but there's surprisingly great stuff in the rotgut section of the liquor store.
One of my favorites is Montezuma tequila. What?
Cheap cheap. But it has a taste of freshly-ground black pepper that I find amazing. I've tried all of the regularly-available higher-end tequilas and maybe they're more true to the real taste of tequila, but I don't care. Straight shots of Montezuma with lime and salt chasing them is a super-duper treat. Being rotgut, it does produce a bit of a headache the next day, but moderation is, as always, the key. My only problem is that I can't decide if I prefer shot-lime-salt or shot-salt-lime. I'll keep working on it.