Yes, all alcoholic drinks have ethanol or ethyl alcohol. There are many types of alcoholic drinks because there are different things that are fermented by the yeasts that make the alcohol. Substances that are fermented by the yeasts include malted barely or rice for beers, grape juice for wine, corn mash for burbon and potatoes for vodka. All of these substances have sugars and starches which the yeasts convert to ethanol.
Natural fermentation results in an alcoholic content of up to around 5-12% or so, the upper limit occurs because the alcohol starts killing the yeast cells.
The drinks, or liquors, that have the higher percentage of alcohol are put through a distillation process to remove water. Aging in wooden casks also imparts different flavors to liquors and wines.
Everybody who likes to drink has their favorite drink as well, which perpetuates the variety of alcoholic beverages that are available to consumers.