Tequila
Ah, tequila.  Is there a liquor more loved and hated at the same time?  I think not.  The mere mention of tequila at a liquor store will either send people into a panic...or a frenzy.  It is, actually, a wonderful drink...but, in my experience, when consumed in excess, can produce one of the more frenetic drunks and one of the most terrible hangovers.  So enjoy...but be careful not to overindulge.
As for what brands to drink, tequila's a difficult thing to advise someone on because, often, they're using it for a margarita.  And, for my money, the other ingredients of a margarita render the tequila you use somewhat unimportant (within reason).  Hence, unless you have so much money that you don't know how to spend it all, I wouldn't go too highbrow with the tequila on margarita night…especially if you're using a margarita mix.  If you're making the margies from scratch (i.e. fresh lime juice and Grand Marnier or Cointreau are involved), you may want to splurge a bit more.
Now, if you're going to be shooting tequila straight, you're talking about a different beast altogether.  The best tequila you can save your pennies for is what you need at that point.  Almost everyone has a bad tequila experience that they would be happy to share with you.  It usually involves waking up with one shoe and a pair of the opposite sexes' underpants on…or passing out in the litter box…something to that effect.  These experiences were the result of shooting too much tequila…and too much of BAD tequila. 
So, The categories below are broken down into the ULTIMATE, TOP-SHELF, MIDDLE-CLASS, and BUDGET tequilas.  The Ultimates will have your guests "ooohing" and "ahhhing" over your tequila-buying prowess and checking account balance.  The Top-Shelf items are not bank-breakers while being very fine tequilas.  The Middle-Class will pass for decent shots,
Tequila
and will make wonderful margaritas.  The Budget models are definitely a long way from the Ultimates, but are the best of bottom shelf.  The prices listed are the range you will find in the state of Oregon for a 750mL bottle.  Prices will vary around the country.  It should also be noted that this a mere fraction of the tequilas that are made.  If you really want to go to tequila nirvana, you will have to travel to the country of Mexico where this liquor is a religion.:
ULTIMATE TEQUILA:

Trago - ($50-70) available in silver, reposado, anejo - All of them are divine!
Reserva Del Dueno  - ($45)
Don Julio - available in silver, reposado, anejo - ($40-48)
Cabo Wabo - Sammy Hagar's name is attached - ($50)
Don Eduardo  -  ($45-50)
Herradura - available in silver, reposado, anejo - ($40-47)
Rio de Plata  -  ($43)

TOP SHELF TEQUILA:

Patron - it's got 'ultimate' prices, though...currently in silver & reposado - ($50-55)
Sauza Tres Generaciones - silver, anejo - ($35-40)
El Jimador - silver, reposado - ($26-30) 
Hussong's  ($38)
Sauza Hornitos (reposado) / Sauza Conmemorativo (anejo)  ($27-30)
Jose Cuervo Tradicional  ($30)
Cazadores  ($35)

MIDDLE-CLASS TEQUILA:

Sauza - silver, gold - ($17-19)
Jose Cuervo - silver, gold - ($18-20)
Margaritaville - Jimmy Buffet's / silver, gold - ($16-17)
1800 - reposado, anejo - ($25-35)

BUDGET TEQUILA:

Pancho Villa - silver, gold - ($13-14)
Pepe Lopez - ($17)
Arandas - silver, gold - ($14-17)