Anyway, I have a friend (E) who showed interest in knowing my preferred brands, which is a lot like pummeling a beehive with a baseball bat, because I have a lot to say on the subject. Consider this a condensed version:
GIN: For a dirt-cheap gin, suitable for mixing with tonic and the like, you can't do better than Seagram's, with its patented bumpy bottle. Mid-range, I always shoot for Beefeater, but to be honest I have nothing insightful to say about it--this is more a case of me aping my heroes than careful taste-testing and deliberation. Both Drink (I think) and The Gibson use Beefeater in the majority of their drinks, and I prefer it to cocktails made with Bombay or Tanqueray (both a little more expensive, anyway). In the upper range there are a fair amount of super-delicious flavored or specialty gins, of which I've found Hendrick's to be super delicious and Old Raj to be super fascinating (thank you, A, for this).
RUM: I tend to be a supporter of Nicaragua's Flor de Cana, though I've heard good things about Cruzan, and just last weekend I thought long and hard about illegally importing a bottle of Havana Club. I've tried Flor the Cana at the majority of its different age-varieties, and as it grows it gains a mellow sweetness and loses the bite of its alcohol, becoming a pleasant sipping rum. Old Monk is a fascinating, super-sweet, vanilla-tinged rum, imported from India and gaining popularity in specialty cocktail bars, and worth picking up if you see it (thanks again to A). Bacardi should be avoided at all cost, as should all its flavored permutations.
WHISKEY: Whiskey requires an essay all for itself. It's the area I know the most about, and I'm liable to ramble. To start, let me discriminate between the following: bourbons, scotch, and other.
Bourbon. If you're buying super cheap, i.e. mixing with coke to serve to large quantities of guests, I prefer Jim Beam to Jack Daniel's, which I can't stand (though not technically a bourbon; read: Tennessee Whiskey). If you're going to spend a couple dollars on your whiskey, which I recommend you do, Maker's Mark is my choice whiskey for blending, as I think it combines really well with other ingredients without being overpowering. For drinkin' straight (I put just a teaspoon of water, or a single ice cube), the Jim Beam company produces a score of tasty small-batch whiskeys that are all worth it. This includes: Knob Creek, Booker's, Baker's, and Basil Hayden's. Baker's I don't think I've tried but Knob Creek has an excellent, full-bodied, smoky, spicy quality, strongly flavored by the oak barrels. What I remember of Booker's is that its a strong son-of-a-bitch, but tasty (its bottled at over 120 proof, or over 60% abv). Basil Hayden's is good, but more on the floral, aromatic side, which isn't my favorite thing in a bourbon.
Maybe it's a little late to make this point, but the defining quality of American bourbon whiskey is in the mildly-sweet, vanilla-like taste which seeps into the whiskey through aging in American Oak (some Scotch distilleries will incorporate this into their own whiskeys by importing American oak casks which have been previously used to age bourbons). An excellent model for these qualities is Blanton's Single Barrel, a top-shelf bourbon which proclaims to be the "best whiskey ever made." That's a bit of a mouthful, but it's still really damn good.
Scotch. If you're drinking a cheap scotch, you are most definitely drinking a blended scotch, which used to be all the rage, but now plays second-fiddle to single-malts. A decent, cheap blended scotch is Famous Grouse. A decent, expensive blended Scotch is Johnny Walker Black Label, which I don't think is worth the $$. For single malts, a good entry-level bottle is the Glenfiddich 12 year, followed by the Highland Park 12 year. The latter is much better, an excellent, very well-balanced whiskey, while the first is very drinkable with mild fruity notes--good over ice. Both can usually be attained without breaking the bank. Everything else is meant to break the bank, but the good thing about scotch is that it can last you a very long time (unless you are an alcoholic):
Lagavulin 16 year
Talisker 10 year
Macallan (the older ones are more interesting)
Glenlivet 15 year
They're all excellent. Going into the details of what makes them unique would... take... a lot of time.
Other. I think the best Manhattan's are made with rye whiskey, and I think Old Overholt is a great rye, though sometimes hard to come by.
VODKA: I don't drink vodka.
But if I do, I pick Stoli's.
TEQUILA: I have enjoyed a little-known, moderately-priced blanco tequila called Lunazul. But blanco tequilas (aka silver) are something of a cop-out; because, like vodka or un-aged mass-market rums (read: Bacardi), they are distilled with the purpose of being tasteless, and thus suitable exclusively for mixing in simple drinks. Hm.
Oh, and avoid Jose Cuervo, if possible.
BRANDY: I'm no expert. St. Remy and Hennesy are both good and similarly priced.
LIQUEURS: For any cocktail aficionado (if I ever come across too smug, send me a letter-bomb), liqueurs are an area of extreme interest, and this really warrants as much space as the whiskey section did. So I won't get into it. There are a lot of extremely popular, gimicky liqueurs gaining popularity now, swiftly weaseling their way into clubs and bars by means of brilliant (/sinister) marketing, that I have no interest in: take, for example, Veev, an acai-based liqueur with a huge, villainous, Michael-Eisner-like propaganda machine...
Anyway, here's a short (correction: long) list of liqueurs/fermented wines/bitters/etc. (basically, all the other stuff) that I find interesting, and play a large role in the classic cocktail scene:
A pastis (read: an anise liqueur, i.e. Pernod)
Sweet (Italian) and Dry (French) vermouth: Noilly Pratt
Cocktail bitters: Angostura, Regan's Orange Bitters, Peychaud's
A cherry liqueur (try Cherry Heering)
An apricot liqueur (try Marie Apry)
Lillet Blanc (a white wine flavored with orange peel)
A bottle of sherry
A bottle of tawny port
Calvados (apple liqueur)
Well, that's it. It's my hope (misguided, perhaps), that people will skim this, contest some recommendations and add others. I think this could be a pretty damn good forum to make a pretty damn good list of recommendable bottles.