When a Recipe Calls for Expensive Liquor, What's the Purpose and What Are the Substitutes?
The primary purpose is for flavor.  If it's the expense of a large bottle for a few tablespoons here and there you should be able to buy the mini bottles (as are served on airplanes) from a local liquor store.

If you don't want to use or have it around due to issues with alcohol then look for other items that have as similar flavor to substitute.  Sherry has a sweet nutty flavor to it and apple juice can often work suitably well.  Keep in mind you'll probably not find an exact flavor match but it can be close.  A small amount of orange extract could be used in place of grand marnier. Depending on the item, you might also try flavored syrups that are used for coffee drinks.  Remember that these have a lot of sugar in them so you'll need to compensate by cutting back on sugar elsewhere in the recipe and obviously don't use them where the sweet flavor wouldn't be welcome.