I used to think that too, but it turns out that vodkas actually do have distinctive flavors, some of which are better than others (to me). I was skeptical until we tried it, and it turned out that my wife and I could both identify many high-end vodkas very reliably in blind tastings. Ciroc is particularly distinctive.
Vodka is almost universally manufactured from the same high-grade industrial ethanol, which is essentially pure. However, you are correct that some of them taste different! You might be disappointed, though, to discover that these flavors are often introduced as a small quantity of concentrates added to industrial ethanol during the bottling process. Not every brand has a subtle character modifier added to it but many do.
I know the family that owns the bottling plant for most of the vodka brands sold in California, from premium to bum brands; they bottle everything from the same railroad tanker cars of ethanol from ADM. It was eye-opening to see but it makes sense; ethanol distillation is a highly refined, industrial scale process. Ironically, some of the cheapest stuff is the purest (it costs money to add adulterants to ethanol, after all). The industrial distillation columns are extremely efficient, so extra "distillations" don't buy much.
I'd also be interested to know about the flavoring used. It seems like this would run afoul of the US labeling laws for vodka, which require it to be "without distinctive character, aroma, or taste". This technicality of course doesn't mean that it's not done exactly as Andrew describes.
Here's a couple background articles on the bottler's role, without specific reference to flavorings:
Ah. Well, what can I say? I can easily tell the difference between different vodkas in blind tastings, though I can't necessarily tell you which is which. But my wife can consistently pick her favorite vodka out of a blind lineup.
For vodka, this is why I seek out actual russian imports, and I have a strong preference for potato distilled vodka. Unfortunately, finding these are few and far between, so grain it is. Still, when that's the case, I go for cheap vodka, and there's quite a strong difference there too. I'm talking 750ml for 7-8 dollars, some is just undrinkable, others are smoother than smirnoff (also not high end, just comparing to a well known, marketed as highish end).
