I have been to Cozumel every year for the past 15 years. Yss thew Vanilla is the best (and cheapest around).
I will agree with the last post, definitley buy the stuff in the glass, and some of the gift shops have the best prices. If you go to town, there a are lot of shops at El Centro (the main square in town), just shop around a little. The prices on the vanilla don't vary too much shop to shop, and you can usually get a good deal if you buy two or three bottles.
The IS a HUGE supermarket in town, right on the main road, it is called Chedraui. Any of the taxis can take you there, if you go to the town square (El Centro) you will pass by it, and I would recommend walking back to it after your visit to town and catch a taxi back after you have done your shopping.
Chedraui is probably the best place i have found to buy your liquor there, they have a good selection and the price is right.
*** Just as an editorial..... don't listen to the BS the cruise lines give you about crime in Cozumel, or staying within a certain area. There is practically NO crime there, certainly none against tourists, and the entire Island is friendly and everyone is glad to have your business. Go to town and walk back off the main drag a few blocks, its really cool and there are some great shops and restruants there. ****
Enjoy your trip!