Expensive Vodka is just that, expensive. It's made to sell to fools in nightclubs at silly prices. These guys think if it's expensive it must be good and of course they can display their supposed wealth by putting $300 bottles of the stuff on their tab.
If you want great Vodka take a cheap one and run it thru a charcoal filter a dozen times or as above just drink Smirnoff or maybe Stolli.
I know this is going off topic, but the $300 dollar bottle only comes into play got the margin of a night-clubs profit. It doesnt matter what bottle you buy, the $25 dollar of Smirnoff or the $40 dollar of Goose... the mark up is at least 100% on it. Sure a lot has to do with "look how cool/how much money I have". A lot has to do with what the Nightclub is gonna charge you per drink.
When we used to go to Vegas, it made far more sense to pay $550 buck for two bottles, a table, and walk to the front of the line... split between 5 guys. That was $110 a guy. To get into the club typically runs $30-$50 bucks (plus about a 3 hours wait), drinks ran $20-$25 bucks per drink, and then the hassle of trying to find a spot to hang out and not get bumped into. The $110 per was a steal at that point.
As for "why Vodka" at the club... its the most common thing you can mix with simple soft drinks and juices. Its also the thing that requires that least amount of skill to mix.
Totally agree in most cases, but I tend to think that the bottle service thing makes sense... depending on situation and where you are.