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I am no great fan of vodka either ... other spirits are much tastier, more complex, and interesting than vodka. I guess that's why there are so many flavored vodka - everything from pomegranate, pepper, or whipped cream.
While I drink vodka straight only rarely - ice cold in a shot glass (seems to go together with caviar and toast points) - it does mix well in cocktails. It fortifies other drinks without radically changing the taste. Vodka is the best spirit for Screwdrivers, Black Russians, Bloody Marys, etc.
My inexpensive vodka of choice is a Polish potato vodka called Luksusowa. I find this one smooth and very agreeable.
I like that one as well...it also does well in lighter flavored cocktails such as a cosmo.