I have done this twice, the most recent being on the Reflection in July this year.
You get to try three different Macallan's - Quest, Lumina and Terra - these are all travel versions only available in Duty Free. As we were sailing from Barcelona there was no duty-free alcohol sales although the sommelier was selling these on request.
As Bo mentions you try them with and without water - at the most recent tasting it was harder to add just a few drops of water as there are no plastic straws to use.
Whilst a decent experience, the first time was better. The most recent experience was led by a sommelier who was reading from notes and not really able to answer all of the questions.
