There's been a meme on the web for a while now that says that if you take cheap vodka and run it through an ordinary pitcher-type water filter several times (around 8 or 9) the result tastes like higher end vodkas (such as Kettel One).
anne and I tried this out last weekend. We used a Brita filter as in the above blog, along with some really cheap vokda that's made in San Jose, CA. Yikes! Unlike the above experiment, we kept a shot of vodka from each pass through the filter along with the original pre-filtered, but were not drinking the vokda during the test.
Long story short: after 4 or 5 passes the quantity of bad smells did in fact reduce down the Kettel One quantity. However, the quality of those smells remained the same -- that of rubbing alcohol. Side by side, it was easy to tell the difference, even after 15 passes (at which point, we got tired and stopped). It makes sense that this doesn't work -- there are impurities in cheap vodka, but some of them are in the form of higher alcohols/esters that aren't going away by running through a filter.
Kettel One is about three times the price of this cheap vodka, but it's worth it unless you are consuming more vodka than you probably should be. But if that's the case, you probably wouldn't even mind the taste of the original unfiltered. And let's not forget that the filter cost $6, and it takes about 15 minutes for each pass through the filter.