Just another, "What LarryS said" about calvados. Can frequently find very good calvados for much less than very good cognac.
Would also eccho Flasken's comments about Port. If you have a chance, try a good vintage that's had a chance to age (e.g., 1985, 1977, 1970, 1963). Yum!
And, along those same lines... check out Madeira! IMHO, some of the best tasting stuff to be found. Like Port, it's a fortified wine (alcohol content generally in the 18-22% range). In broad terms... three main types: Sercial, Bual, and Malmsey. The most dry are the Sercial. The most sweet are the Malmsey. The Bual is in the middle.
And old Sercial can almost evaporate off the palate, leaving behind an incredibe flavor/aroma.
When I opened an old Malmsey and passed the bottle to my wife, I asked what she thought it smelled like. Her first reaction, "Milk Duds!". Exactly correct. Amazing to be able to hints of caramel, chocolate, and spice (and other flavors that are difficult to describe). Just wonderful! Works great as an apperitif to stimulate the juices or goes well with dessert or having a nip before heading off to bed.
Can find old Madeira for fairly modest prices. And, by old, I'm talking about stuff that was in barrel while Lincoln was president. And by fairly modest, that bottle of old Madeira will likely cost about the same as (or even less than) a bottle of Remy Martin Extra.
Mmmm... Madeira.... mmmmm.....
Happy indulging!
Bruce