Alcohol gives you a rollable dough w/o activating the gluten in the flour, and then bakes off, so the cookies are very floury and tender. Everclear or Alcool are ideal but less common than vodka.
You can substitute water, in which case they will be slightly less tender but still good. Vodka is better for newbies who may have to manipulate the dough a LOT, unless there's a reason to avoid it.