A bartender also wrote that he used a Brita Water Filter to increase the quality of cheap vodka. He ran $5 Aristocrat Vodka through a Brita Water filter 4 times. Says the end result was comparable to Absolut. The process took about a half hour; you don't have to stand there and watch it. Brita comes with one filter that is good for two weeks.
That filtration process sounds like it could work, but for the money and effort I would much rather buy higher end vodkas. ;)