Mythbusters sort of disproved this. They filtered cheap Vodka through a brita filter and did make it slightly better, but still didn't compare to the top shelf vodka's and wasn't worth the cost. The graykangaroo site says theirs is different than a brita filter, but then they say it's carbon, which is essentially what's in a brita (except the stainless steel).
Here's a "review", but seems very one sided.
http://www.liquorsnob.com/archives/2..._filter_re.php
Now, I'm no expert, but isn't the whole theory here that the carbon actually removes some of the alcohol? Isn't it the same theory as getting your stomach pumped after drinking too much?