To be clear: I have drunk very little alcohol in my life. Everything I know, I learned from talking to other people or just doing a bit of research on the internet. So I am no expert! Even so, I often see authors (especially aspiring ones) make some funny mistakes with the characters' alcohol.
The most common mistake, which I have seen many different times from different authors, is for a relatively high-class character relaxing with a glass of randomly-selected alcohol (say, a light desert wine,) to chug it all, giving a theatric grimace of pain.
So much no.
1. The only time down large quantities of alcohol all at once is if they are trying to get drunk as quickly as possible. If so, the alcohol is probably cheap and crappy and your character is not particularly high class. This may be how people act at frat parties, but it is not how people who can afford expensive drinks generally approach alcohol.
So how do they drink?
In general, most people drink by, well, drinking. Same as you might sip a cup of tea or have a glass of juice with a meal. A glass of wine is sipped; a shot of whiskey is savored. Depending on the situation, your character might not even get drunk.
"But wait," I hear you saying, "Isn't whiskey one of those alcohols people chug, because it tastes so bad?"
Look, I think whiskeys and scotches taste absolutely awful, even the fancy Japanese ones. But people who actually drink these things assure me that they find the flavor pleasant, and I have never seen anyone chug expensive whiskey and then sit there grimacing. Think about it: why would you pay $150 for something you find unpleasant?
Which leads me to number two...
2. Not all alcohols are the same. A dinner wine is not vodka and is drunk under different circumstances. Scotch is not beer. Pick the alcohol that is appropriate to your character and the situation; don't just pick at random.
On a related note, if you have never been to a club or bar, I recommend visiting one or at least talking to someone who has visited one before writing about them, as ignorance in this department will show.
Happy writing, my friends!