I think the differences between vodkas really only become apparent if you drink them very cold - not chilled or even over ice, but put in a less than 0 degrees F freezer for at least 24 hours, and served in tiny glasses so it keeps cold. If it's cold enough, it gets noticeably syrupy.

Grey Goose seems to be controversial. I like it myself, except that it's so smooth it almost doesn't taste like anything.

I think Finlandia is good value -- it's usually much cheaper than other premium vodkas, and as good as most of them.

I recently found a limited supply of a Polish vodka called Gvori on sale, and I thought it was excellent and at the sale price a very good value. Unfortunately that merchant ran out and I can't find it anywhere else.