I watched a short in flight video segment about a vodka testing a few years ago. The producers got thirty supposed vodka experts to participate in their blind taste test, which consisted of: 1) straight up; 2) a Bloody Mary, and 2) a screwdriver.

Much to the surprise of the tasters, the undisputed winner was Smirnoff. The grocery store brand (in the big plastic bottle) came in last, but Grey Goose and Finlandia didn't fare much better. IIRC, Belvedere and Tito's did pretty well.

I'm not a vodka expert myself, and agree that --apart from the Safeway stuff-- it all tastes the same.