I joined a bourbon club, because I wanted to taste and understand bourbon. What I learned after dropping a few grand on liquors was that the more expensive it was, the more it burned. I don't know if it was educating my palate or what, but after a dozen or so small batches and ltd releases, we tried Evan Williams, and it was the smoothest I had, had.
If I were drinking to get drunk, it definitely would be better to stick with the cheaper Bottled in Bond brands. But, drinking for flavors, I will probably stick with wines.