Yep--beans in cognac. Though I use the commercial stuff too. I used to buy my vanilla extract from
a Greek lady who had a dusty, jumbled store. Many people didn't like her store, they thought it was dirty, but I loved exploring there, and she always had every obscure ingredient you could ever need. One day I went for vanilla, but she'd run out. Then she signalled me to wait and said, "Just for you," and reached under the counter and handed me a half-full bottle of Crown Royal. "Cognac," she said, and I saw that it was her private stock, brandy and vanilla beans.
She retired soon after that, and the new owners turned the store into a fancy, high-priced place, but I still have her bottle, and replace the beans every few years and top it up with good cognac -- and always wonder why on earth she had this home-made vanilla stashed under her counter. And why she would deem me a worthy recipient!
You can, of course, use grain alcohol or vodka if cognac strikes you as too decadent.