It's funny you should mention this, because I just stumbled across Vanilla.com and was curious about it too! Until I saw that site, I had no idea there was a difference in vanilla.
I generally buy the little bottles of McCormicks at the supermarket, but when I can find it, I buy Nielsen-Massey Madagascar Vanilla. I've heard it's the best, but then I have nothing really to compare it to!
Here's some info on the different types, copied from vanilla.com:
A relative newcomer to the flavor world, Tahitian vanilla is actually a different species. It is known for its fruit and floral flavor, reminiscent of cherries, prunes, raisins and anise. Its high heliotropin content make it especially good for calming the stomach. Tahitian vanilla extract's fruity flavor offsets seafood beautifully, and is very good in cream and custard desserts, and fruit specialties.
Once known worldwide as the finest vanilla, Mexican vanilla is enjoying a renaissance in popularity. Smooth, creamy flavor, with sweet, spicy, woody and pronounced vanilla notes. Smoothes acidity in fruits and tomatoes, excellent in barbeque, sweetness offsets the heat of chile. Good in anything that calls for vanilla, Mexican vanilla extract is especially good in ethnic foods, desserts, fresh fruits, beverages - including alcoholic drinks such as margaritas - meat, poultry and wild game.
(note: their site includes warnings that most of the Mexican vanilla you buy now is not real)
Named for an Indian Ocean island, and not the whiskey, Bourbon vanilla's strong natural vanillin flavor makes it excellent for baking and ice creams. Because Bourbon vanilla extract flavors most of the natural vanilla products we buy, its flavor is very familiar. Use in your favorite recipes.
Until reading that, I actually thought Bourbon vanilla used bourbon as the base! Nielsen-Massey explains it further:
Today, Vanilla beans are grown in four main areas of the world. Each region produces vanilla beans with distinctive characteristics and attributes. Madagascar, an island off the coast of Africa, is the largest producer of vanilla beans in the world and the ensuing vanilla is known as Madagascar Bourbon vanilla. The term Bourbon applies to beans grown on the Bourbon Islands - Madagascar, Comoro, Seychelle and Reunion. There is no connection with the liquor produced in Kentucky in the United States. Madagascar Bourbon vanilla is considered to be the highest quality pure vanilla available, described as having a creamy, sweet, smooth, mellow flavor.
Some good info:
http://www.nielsenmassey.com/whichvanillatouse.htm
http://www.vanilla.com/html/facts.html
Vanilla.com offers a sampler pack to try all 3 varieties.