When I worked at the alcohol store in college the explanation they gave was that the high end alcohol have better quality control for impurities, which translate into into a less severe hangover. At least up to a point and depending on the type. It is supposedly most noticeable in rum, brandy, and whiskey.
Vodka, on the other hand, is pure by nature, so the only thing that really seems to matter is what it's made from (Potato vs. Rye vs. Wheat). Monopolowa was the brand of choice of many serious vodka drinkers at that time, with Tito's taking off when the store picked it up.