Depends on the liquor. If I'm drinking cheap vodka, I'll just have it straight out the bottle. Cheap whiskey (ie Jim Beam or worse), either bottle it or on the rocks. If I'm having something decent such as Maker's Mark, I drink it neat. I'd probably use it in mixed drinks more often but I rarely have something that's worth mixing it with. I'd rather have less liquid to drink than to dilute cheap liquor in soda or the like, it's easier to get down faster.
I'm not a huge fan of shots though, a lot of the time it doesn't go down like it should. When I sip it, I don't have to worry about it going down the wrong tube which for some reason happens a lot when I drink liquids.
Just tell myself quickly to "man up" and throw it down. I like mixers depending on the type. The only drinks I like straight are some whiskeys, spiced rum, and only expensive tequila. Vodka and most cheap stuff I gotta through with some orange juice or something.
I pour it into a whiskey tumbler (my preferred brands are Maker's Mark, Gentleman Jack, and Royal Crown) and savor it neat in small sips that I roll around on my tongue to really appreciate the flavor. But then, I'm a whiskey lover. I don't like mixing it with anything. Not even ice or a drop of water.