If you use a lot of vanilla it's worth it to make your own. I've always bought my vanilla from Penzey's. A few years ago the price of vanilla skyrocketed-it was so high that there was no way I was buying it. I think it was about 4 times the normal price. So I read up on it and decided to make my own. The price has since come back down but we still make our own. Here's the recipe:
1 bottle of vodka (I think it's a 5th? I'm not a drinker so I'm not well versed on alcohol)
3 vanilla beans (these were from Penzey's. They weren't cheap either but they were much cheaper than buying the bottle of vanilla and you get a lot more vanilla from 3 beans than you do from a 4 oz bottle)
Cut the vanilla beans into 1" pieces and split each piece (or you could split each bean and then cut into 1" pieces). Pour a couple of inches of the vodka out to make room for shaking. I just pour out an inch or two from the neck of the bottle, which isn't much at all. Probably not even enough to get a buzz. hehe. Anyway. Put all of the vanilla bean pieces in the bottle. Put on the lid and shake. Shake the bottle at least a couple times a day every day for 2 weeks. You can keep shaking it past the 2 weeks if you want-it won't hurt it. If you don't like the beans or seeds in it, you can strain it through a coffee filter, but the beans and seeds keep releasing flavor to make it even better. So we leave it all in until the bottle is nearly gone. I put a label on the bottle so I can keep track of when I started it. I just started a new bottle-this one has been going for 4 days and you can see how it's already brown and vanilla-looking.
When I use it, I sometimes put 1-1/2 or 2 times as much as the recipe calls for, just because we like a lot of vanilla flavor. In a few days I'll have to make No-bake cookies for Sammy's birthday. I'll post that recipe tonight-it uses vanilla.