Vodka is a distilled beverage which consists of mostly water and ethanol purified by distillation. It has the least amount of congeners, or additives, of any spirit except perhaps Everclear or other pure grain spirits.
By law, Vodka must be odorless, colorless and tasteless. Obviously, this is not true, or all vodkas would taste identical. There are several factors that influence a vodka's flavor. These are:
The fermented product, which is usually grain but can be potatoes (much rarer than you think), sugar beet molasses and more recently, grapes, rice and pretty much anything else you can think of. (Ciroc is made from grapes).
The method of distillation and number of times distilled. Pot stills, column stills, etc. Most vodkas are distilled multiple times, generally between 3-5. Too little distillation leaves impurities, too much strips away delicate flavor notes.
The source of water used and filtration methods. Some vodkas use natural waters for slight mineral notes, some use ultra-purified water to obtain the cleanest taste possible.
And lastly, the amount of water used and the resulting alcohol percentage. Although the general standard is 80 proof, there are vodkas with higher and lower alcohol content. Too little and it tastes watery, too much and it has a very "hot" mouth-feel.
There is a recent surge in "infused" and flavored vodkas. Some are delicious. Some are swill. I encourage you to try something before shelling out big bucks for it. Just because it's new, doesn't mean it's good.
Although vodka is traditionally drunk neat in the Eastern European and Nordic countries, here in America we generally chill it, first...a sure sign we are barbarians. Vodka is also the basis of cocktails such as the Screwdriver, Bloody Mary, Cosmopolitan or in a martini.