Generally, I've found the best liquor prices at non "DF" stores in places with low liquor taxes. Cruzan rum (light or dark) at $2.99 US at the K-Mart in St. Thomas, for example. Non-local liquor wasn't quite as much of a steal, but still better pricing at K-Mart and the grocery store than at any of the "duty-free" stores, and much better prices than the local stores here in Florida.
Italy also had good pricing, again better at the local stores than the DF.
Best price I've seen on Kahlua was $8.00 a liter at a grocery in Tijuana.
Edited to add, I found
this thread from last July on CruiseCritic.com, listing these prices at a place called Riise in St. Thomas or St. Johns.
A 1 ltr bottle of Absolut cost 9.95
1 ltr. Grand Marnier 22.95
1 ltr. Baileys 17.95
1 ltr. Jose Cuervo Gold 13.95
1 ltr. Glenlivet Single Malt Scotch 24.95
1 ltr. Bombay Sapphire Gin 14.95