In Utah, you can only buy liquor and wine in state-run liquor stores. There are 37 full-service stores located throughout the state. The stores have inconvienent hours (most close between 7:00 pm and 9:00 pm), and aren't open on Sundays.
Beer is a bit easier to obtain, as it can be sold in grocery stores and gas stations. It's only 3.2%, so you'll need to load up if you want a buzz. Beer isn't sold on Sunday in some places, and can't be purchased after 1:00 am.
I'm not sure if the tax rate on alcohol is any higher than the state sales tax (last I checked, it was 6.6% but seems to change weekly). The liquor store prices are reasonable...not cheap, but not overwhelmingly expensive either.