OMG! Mad Dog 20 20. Drank it only once but the headache and nausea lasted for days.
Sure they have arsenic in them, in miniscule quantities.
The wines and most liquors also have larger quantities of methyl alcohol, butyl alcohol, amyl alcohol, pyrenes of various types, multi-ring hydrocarbon compounds listed as carcinogenic and yes, formaldehyde in varying amounts. When someone says they got pickled they are not kidding.
These components in varying quantities are what make red wine or scotch more likely than white wine or vodka to give you a hangover and splitting headache.