This is a one step guide.
All you do is get a bottle of inexpensive vodka that you'd rather not drink 'as-is' either because it's beneath you or it's boring, and put anything you want in it.
I'm really into Bloody Marys at the moment so I shoved a few stems of Asian or Greek basil (with leaves obviously) into a bottle of Absolut. This should lend a beautiful spiced basily (duh) flavour to my nice tomatoey drink.
Step 1: What?
Commonly added ingredients are:
Whole red chilli - Very easy, just make a vertical cut up the chilli to let some of the flavour out but you don't want seeds getting out, and leave for a week. Looks good too.
Black pepper corns - Nice earthy spice compared to chilli, use about a cup. Works well infused with Gin instead of vodka.
Vanilla pods - Fresh pods normally come in a vile of two, drop them in the bottle and 1 or 2 weeks later, delicious.
Fruits and Vegetables - Can be nice, but not really my bag. They go mushy probably.
Star Anise - Very powerful. Up to a week, try it after 2 days though and use your own judgement. Try infusing with rum.
Dried Bananas for rum. yum.
Or Anything you want!