Tamami at Coco&Me posted the results of her vanilla extract experiments using vodka, rum, and brandy:

I made 3 samples – with vodka, rum & brandy – & I can say that the best one was… drum-roll please… with Vodka!! Ta-da!
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The clear vodka now coloured rich auburn brown, has the most heady scent of vanilla. Bliss. It’s a “happy-moment”. You know that the vanilla has been fully extracted. It has a slightly syrupy density, & when you shake the bottle then pour, you’d get loads of specks of vanilla beans. Gorgeous.
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The other two, the rum & the brandy versions, well, forget ‘em really… The distinct flavour of the alcohol drowned the delicate vanilla scent. Quite disappointing & pointless.

You can read more about Tamami’s experiment with vanilla extract and various alcohols.