What is a good liquor to drink shots of?

It really depends on taste: some like ouzo, some like tequila, some like whiskey, some like vodka.

Bear in mind that drinking shots doesn't give you time to really enjoy the flavor of the drink, so it's pointless to spend a lot of money on a really good, for example, single-malt whiskey, if you're going to toss it down without taking time to savor it.

Mid- or lower-range quality liquors are best suited for shots.