I don't know how relevant to Cozumel this comment will be, but I just returned from Puerto Vallarta and have to say the selection of tequilas at the Soriana and other stores was amazing! I wish I knew brands and varieties better. For the couple of offerings that I could make US price comparisons to, I'd say the savings was there in Mexico, but not much overall, perhaps 10%. Patron seemed more expensive there actually. The duty free shop at the airport on the way out had a number of 3-for-2 offers and I got 3 bottles of Milagro Resposada for $16 each, which is probably $3-$4 cheaper than I've ever seen it at Safeway, and no tax. Also the one place it was slightly cheaper to use $$ rather than pesos.
I haven't had much success carrying liquor in my checked baggage, perhaps made worse because I use a duffel rather than a hard suitcase. TSA seems to zero in on liquor bottles and no matter how much I've wrapped and positioned the bottles so they are protected, TSA simply unwraps them and leaves them right under the zipper flap. The last two trips, bottles have broken due to such careless repacking by TSA. If I try again, I'll find a styrofoam bottle carrier so that maybe I can count on at least that element remaining in place. That's another argument for duty free I suppose.