The US applies a very large "sin" tax to any form of liquor. so yes, hard liquor is quite a bit cheaper on the islands (even though the transport costs of getting it to the island is higher).
Also, some rums are "local" so that doesn't cost as much either (a couple of liquor stores we visited would even let you taste samples of the different liquors.
I don't know about beer and wine, because we never purchased that on the islands.
In fact, a number of things may actually be cheaper on the islands - such as electonics. We saw one family bring back a complete home entertainment system with them.
Just be sure to read the information in your room on what the limits are for bringing things back in to the US, otherwise you'll need to go to the customs officers the morning you return to port and pony up some extra cash (they don't take checks or credit cards). We were slightly over the limit, but under $10 for the import tax, and they will waive anything under $10.