Every time I drink some wine and someone tells me it tastes good I answer: "let's wait tomorrow".
The only wine which I know ain't giving headaches is champagne (unless you really* abuse it).
I mean, if I'm drinking a Jack and Coke or a Jameson Rocks I'm probably at a concert or a dive bar, staying up late and having one too many drinks. Whereas if I'm drinking a high-end single-malt neat I'm probably at an upscale bar and I'm apt to maybe opt-out of that one last drink.
Additionally, a lot of people have bad memories of low end alcohols from college, when they're doing shots of cuervo, popov, or other low end alcohols in excess. Vodka, in particular, has very little differentiation between brands (it's pure grain alcohol). I'd really love to see a controlled study where a group of people drink a high-end and a low-end vodka and describe their hangovers the next day.
Some wines are filtered using fining agents that contain gelatin, where some winemakers choose to use higher-micron (more expensive) filters. Or they use sanitation 'preservatives' like Velcorin. Any one of these processes could either trigger an allergy or add something that your body doesn't like processing.
The closest example is decaf coffee: how to strip out the caffeine. There is a chemical way (cheap but uses benzene) vs the swiss water process.
http://www.wisegeek.org/how-is-coffee-decaffeinated.htm
http://en.wikipedia.org/wiki/Decaffeination#Swiss_water_proc...