No, I don't think it's an "after you get used to it" thing. Really good liquor shouldn't burn when it's in a well-mixed drink. The problem is that at most bars, unless you specify your brand of liquor, they will give you "well" liquor, which is like drinking generics. Even if you know brands to specify, the top commercial brands are usually mid-range brands, not really high quality ones. Now, some mid-range brands are still pretty darn good, so it's not just that, it's just that people don't always know which ones to order. Some liquors WILL burn a little even if they are good liquor, only because you're drinking them straight, or almost straight, like a martini. But the same gin drunk in a properly mixed gin & tonic (I do one part gin to two parts tonic plus a dash of lemon or lime juice) shouldn't burn.

If you're playing a bartender and want to learn more, I would recommend picking up a cheap bartending guide at the bookstore.