Perhaps the statement I hate the most when uttered out of a charlatan's mouth is "What's the point of buying nice vodka? The cheap stuff gets me to the same place", because not only is it wrong about the entire ethos of drinking itself, it is slandering the good name of the purest no-smell liquor - after all, you don't go to a whorehouse for a quickie before going home to your wife, and you don't drink whiskey in the middle of the workday.
First off, if you haven't ever had a bottle with wódka or водка on the label, you're not allowed to have an opinion on the liquor itself, for have you even really tasted the truth? (No, Grey Goose and Ciroc are not bloody "good vodka". This is the equivalent of having a "finely attuned" taste in pizza while never having been to New York - only Chicago.) Vodka isn't made from grapes, and it isn't the same thing as Everclear - it is the only liquor that could ever make it feel like drowning in liquor is drinking a glass of water.
Most likely, you have been drinking vodka incorrectly the entire time, having bought the cheapest thing on the lowest shelf that isn't in a bottle made out of plastic. This is vodka in the crudest sense of the word - it has more in common with antifreeze than wódka, so you probably mix it with an overpowering soda flavor to try and mask the aftertaste as much as possible, but it's never sufficient. (Pro tip, citrus or ginger masks the taste the best.) Such bottles aren't worthy comparisons, as the best vodka should be drank unmixed, undiluted, and, above all, beyond ice-cold (No, there are no mountains turning blue.) When you've finally done this, you'll be surprised, as a quality vodka contains less of a kick than a flat Perrier. Personally, I never drink quality vodka without some sort of snack or finger food nearby - charcuterie (I never really got over the whole Sopranos phase, myself) and pickles are my favorite - as it is very, very easy to lose track of what and how much of it you are drinking, and after making a good start on a good bottle, the clearness definitely doesn't help, though if you start seeing light refracting, you definitely have a case of the double vision. If you are indulging on a special occasion, your accoutrement could be some quality caviar, perhaps placed on a dollop of creme fraiche surreptitiously held on a Cool Ranch Dorito.
I come to the defense of vodka as I would a friend, for the history of vodka is as varied and as old as medieval Scotch production, and has both built and broken generations of countries. Historically, it might be the most important alcohol to ever exist. It's only right that you enjoy it once like a tsar would.
As for what vodka you should strive to find, all I can say is to keep asking every liquor store you enter whether they have the Jewel of Russia. After all, it's probably a better guide to walk towards than the North Star.
For further reading: Vodka Politics