It really depends on the alcohol itself, especially it's quality.

Most cheap commercial alcohol tastes like crap, because making them taste good is effort and money. A £20 bottle of whisky or vodka or gin will never taste good, because at that price point, you can't get the high quality ingredients, can't afford the purification process and so on.

Good news is, you can fix clear spirits, to some extent, with a cheap Brita filter. Take a crappy bottle of vodka, pass it through a NEW Brita filter (wash it through with water first to activate the charcoal properly), and BAM, you removed the nail polish remover flavour, and now it tastes much closer to a £50 bottle. Watch out though, brown and flavoured spirits (whisky, rum, gin, etc.) will lose their colour and have their flavours muted by this process.

And often it's worth splurging on the fancy bottle of liquor. A bottle of Cirroc or Grey Goose might be £40-60, but you'll notice the difference immediately. Those are actually pleasant vodkas to drink.