Any good alcohols?

I recently turned 21 and my dad took me out for my first drink. He got me a bunch of cocktails which I thought were pretty good, but I don’t want to have to make my own at home because it sounds more expensive to buy the ingredients and also because I tried and it didn’t turn out very good. I tried drinking straight vodka and a few other things but both the taste and the burning sensation were just too off-putting for me to like it. I could only take a single sip before deciding it was enough. Are there any alcohols that taste good and don’t burn so much? I like the feeling of getting drunk, but it feels like getting there is such a chore and I only really got drunk that night I had the cocktails.