Most shots just end up with mixers, so you don't get the actual flavour of them. Like Gin&Tonic tastes nothing like neat Gin; Cointreau&Lemonade is always a wiser choice than neat Cointreau; SoCo&Lemonade is slightly more tolerable than SoCo.
As for flavours, you can usually lump them into categories:
Alcohol
Whiskey
Vodka
Gin
Rum (dark rum is more like alcoholic syrup, and white rum is more like tame vodka)
Aniseed/Bitter
Absinthe
Sambucca
Jaegermeister
Campari
Vermouth
Pernod
Fruity
Sourz
SoCo
Cointreau (with one hell of a burn on it)
Aperol (kinda like Cointreau, but mostly sold in Italy)
Cherry Brandy
Funsies
Baileys
Tia Maria
Kahlua