I've been wondering that myself. I know that differently brewed spirits may contain different amounts of some compounds, like vodka compared to whiskey, but I am not sure whether they affect the intoxication. The urban legend at least says that the purer the alcohol, the less risk of a hangover.
What I've also heard is that sipping, for example, vodka through a straw makes you more drunk and the effects arrive faster. I can't really offer a logical answer, although I remember reading something about alcohol entering the bloodstream through your mouth and going straight to the brain, although how much truth is in it I can't tell.