Traditionally only grain vodka is considered to be the best and to be a real vodka. Till XIX century vodka in Russia was made exclusively from rye. Later distilleries started to use wheat. In fact it's possible to make alcohol from many products (icluding oil), but the use of potato and beet was always considered in Russia as a "mauvais ton".
To purify and soften vodka it was used many different means: from milk, honey and charcoal till a very specific one like cockroachs' wings. Interesting, but "Tarakanovka", vodka purified with cockroachs' wings, was considered to be among the best vodka in Russia. I never tried it: "Tarakanovka" is not produced since 1917. By the way, actual charcoal gas-mask owes its birth to Nickolay Zelinsky experiments with vodka purification.
Nowadays vodka is produced in many countries, but its quality is not the same. It is not the same even in Eastern Europe with its over 100 different vodkas. Like in distillation of many other spirits it is not only availability of necessary equipment, raw materials, initial water quality and knowledge about product purification that make this product good.
Even if a vodka is smooth, it does not mean you will like it. It's quite often there is something artificial in it. That's why I don't like Absolut or Finlandia. To my taste Finlandia is better though it is not perfect too. This also concerns very popular Russian Standard or Russian Standard Platinum. But tastes differ.
If you can find them, I would recommend:
Russian:
- "Posolskaya" from "Cristall", Moscow
- "Moskovskaya Osobaya" (normal or signature series)
http://www.cristall.com/portfolio.shtml
- "Smirnoff" (Russian distillery which is different form the US one)
Belarus:
- "Vseslav Charodei" from "Kryshtal", Minsk
http://www.alcoholreviews.com/SPIRITS/charodei.html
http://www.thedrinkshop.com/products/nlpdetail.php?prodid=1341&name=CHARODEI
Ukranian:
- "Rye Honey" from "Nemiroff"
- "Honey Peper"
http://www.nemiroff.ua/main/english/product/34.html
As for my personal choice, I prefer "home-made" produced for own consumption only somewhere in a country. It has specific taste closer to grappa and burbon.
To understand vodka taste and feel the difference it should not be well chilled: good vodka must be pleasant at 15-18 C ! And no ice, please.
One of the best snaks is foods pickeled in brine: different muchrooms (except champignons), cucumbers etc. They will not substitute the main course (like a good piece of meat), but will help with the taste.
To avoid headaches, it's better not to mix spirits of different origin. I mean if you drink vodka, don't drink wine or cognac. The common rule of "compatibility": vodka - beer (grains), wine-cognac (grapes).
Good taste !