The common wisdom for cooking with wine—that is, what celebrity chefs tell you on their shows—is to cook with the wine you are drinking.
I always thought that advice was wasteful. What if your wine is a very good vintage? Or specially bought for a special occasion? What if you’re not the cook that Michael Smith or Giada is?
Turns out, it doesn’t really matter what wine you use for cooking. Wine is almost always added to something else. The flavours marry. You can taste the wine, sure, but you can taste everything else as well. The subtleties of black olive, dark chocolate or lychee fruit in your great wine, if they exist, are lost in the process. Save the good stuff for your glass.
Buy cheap wine for cooking. Make sure it’s wine, not cooking wine (that stuff is horrid), and make sure it’s capped, not corked . I’m confident your liquor store has some reds and whites under $10. For us in Ontario, that would be Argentinian wines at the time of writing.
For whiskys and other hard liquors, use what you have at hand. It’s too expensive to have a “cooking whisky.” Depending on the application, though, you will taste a difference. I recently made butterscotch sauce with actual Scotch, a Laphroig quarter cask; you could almost think I put in essence of burning log instead. I think a mellower Scotch would have made it a different sauce. And I’m sure to try a different Scotch next time.
Finally: beer. I find it goes both ways. The cheapest beer is warranted for Beer Can Chicken (I have Pabst Blue Ribbon for that purpose). But an onion soup with an ale is different from an onion soup with a lager, to say nothing of Beer and Amaretto Ice Cream. Good beer is mandatory for those dishes. Fortunately, the price difference in beers is quite small.
If I were to generalize this: consider how prominently the liquor will be in the dish, when and for whom you are cooking the dish, and my great advice above.
Then choose wisely.