First of all, why do you want to do this? Is it more for scientific reasons or do you love booze?
I'm in the north-east U.S(or maybe not). I used to make my own wine and beer on a regular basis, and nearly graduated to making liquor, but after reading up on the laws regulating the manufacture of liquor(not to mention the price of the equipment) I decided it wasn't worth the trouble. All my home-brewing never attracted any attention luckily. I'm not much of a drinker either, these were more like science experiments. It's a lot of fun.
The wine was always pulpy(the way I like it) and tasted great, and the beer was usually so low in alcohol even a child could drink a few glasses. If the wine from stores is too overly refined and predictable for you, I recommend making your own. There's nothing quite like "wild" pulpy, fizzy, unrefined homemade blueberry wine. I'd probably become an alcoholic if I brewed that delicious stuff again.
You can read up on some of the laws regulating liquor production
here
Buying a distiller can attract attention. Your best bet would be to get the smallest one possible; if anyone ever asks questions say you are using it to make home-made fuel or to extract essential oils from plants for their therapeutic effects. If you try to sell your home made booze without a license you could get into very serious trouble. Also, be careful that you don't accidentally produce methanol instead of ethanol. Methanol is extremely toxic. Methanol can cause blindness or even kill in small doses; I sometimes come across news reports of methanol poisoning caused by careless people running illegal home distilleries. This happens all over the world, there was a particularly bad case in India not too long ago. Be very very careful. My advice is to just stick to making wine and beer, and forget liquor altogether.
I would just buy vodka if I wanted liquor, it's so much easier than making your own.