They just all tasted like some variant of Stoli (which, BTW, isn't sold over there, only for export as I understand it). They're not served cold — room temperature was the fashion. And you could buy a wide variety of vodka brands in the supermarket (and, generally speaking, for a lot less than $30/liter).
Tequila costs less in Mexico, too. $30 is admittedly a lot for a fifth of white booze, but like most artisinal products made in the United States, you're paying for a lot more labor support than you would be if you purchased a product mass-produced in countries with different labor standards.
I admit, though, that it can be hard to figure out when you're being taken. I was in a boutique that only sold American-made clothing with materials sourced using fair trade practices. I saw a basic, cotton sweater that I liked, but they wanted $120 or it. When a clerk overheard me complain to a friend, she snidely said something to the effect that this was what it cost not to exploit poor people. I have a certain fear that she might be at least somewhat correct, but an equal fear that some of the story is the particular version of filtered through quartz crystals that happens to work on people like me.
The sweater is still in the store for all I know.
Anyways, I have a conjecture that explains both the fact that natives serve their vodka at room temperature and that all the choices tasted the same to you. Freezing, or any chilling, any alcohol has the effect of reducing the amount of ethanol boiling off the surface of the drink. This is good because ethanol is, essentially, poison and our brain has evolved to tell us that it smells bad so that we avoid ingesting it. On the other hand, since the evaporated drink also caries volatile aromatics with it, you don't want to completely eliminate the vapor since you'll essentially be killing off all of the smell which translates into taste. Anyone who seriously enjoys drinking booze has learned, to some extent, to smell around the ethanol to get to the delicious aromatic hydrocarbons that are produced and refined in the various stages of production: growing the fruit or grain, fermentation, distillation, and barrel and bottle aging. This mental filtering of the bad part of the smell, however, is a learned skill. Moreover, I think that you have to learn the skill over for drinks that are fundamentally very different from each other.
It's been a decade since I first learned to appreciate bourbon and then other whisk(e)ys. It wasn't very hard to move from their appreciation to that of anejo tequilas. Both products derive much of their flavor from the interaction between distilled alcohol and the oak barrels that they are aged in. When I talked to Mexicans though, they generally thought that white tequila was the ultimate expression of the spirit. For a long time, I found it almost impossible to enjoy un-aged tequilas at room temperature. There was simply too much interference from the less pleasant fumes for me to distinguish between the more delicate smells that differentiated one tequila from another. Now, however, I can; over time I needed the drink to be chilled less and less.
It could be that people who learned to drink by drinking vodka have developed the ability to ignore the, in my opinion, harsh and unpleasant smell that you get from serving vodka at room temperature. It could be that for such people, chilling the drink tames the smell too much, much as a Kentuckian would shake his head if you pulled a bottle of bourbon from the freezer. On the other hand, for people like me who have far less experience with the drink, not chilling the spirit results in an undifferentiable mess of harsh smells.