Place twelve 2-ounce plastic cups on a baking sheet with the lids off.
Pour the gelatin into a medium mixing bowl. Add 1/4 cup cold milk and whisk to combine. Set aside.
Heat the remaining 1/2 cup milk in a saucepan over medium heat until it just starts to simmer. Pour the hot milk into the bowl and whisk until gelatin has dissolved.
Add the sugar and whisk until dissolved. Add the heavy cream and vodka and give everything one more stir.
Pour the jello mixture into the plastic cups until they're almost full. You want some room at the top so you can put a lid on later. (A measuring cup with a spout works great for this.)
Transfer the jello shots to the fridge to chill for 2 hours, or until the jello is set.
When you're ready to serve, remove the shots from the fridge. Pop lids on top and you're all set. If you want your shots to look fancy, add a little whipped cream and some chocolate shavings on top of each shot.
Gelatin will breakdown the whipped cream. So you want to garnish the tops at the last minute. Or skip the whipped cream and keep the chocolate. Or use Cool Whip instead. You can put the Cool Whip in a piping bag with a pretty tip to make your shots look fancy.