Why does adding liquor of some kind to some baked dishes make them taste unique, if the liquor just cooks away?

I use a dark lager in my bread. It is so yummy.

A jelly on Facebook posted this ymmy recipe for Pecan Pie Truffles.

There is a disclaimer that reads “Like traditional rum balls, these offer a slightly alcoholic kick, so be sure to monitor any underage guests.” Doesn’t the alcohol cook completely away? Could you really get a buzz from those things, or from my bread?

Another favorite is beer turkey, where you roast the turkey upside down, with a can of beer stuck in it’s neck to evaporate up as the bird cooks.