I've never felt the need to pay extra for the better stuff, I find Smirnoff red acceptable, especially since I usually mix it.
The more filtered, the less hungover you get (supposedly). Distillation is pretty pointless after two or three times, especially since it's then watered down to 40% anyway. Two fun things to try.
1: run smirnoff through a Brita filter half a dozen times and compare it to some straight from the bottle. Should be better.
2: put some 40% vodka in the freezer for a few hours until its well below zero. Drop a plain water ice cube in. The water in the vodka will join on and form more ice crystals. Leave this for an hour or so and then take the ice out so you are left with a stronger vodka.