In a large bowl or resealable plastic bag, combine vodka, lemon juice, sugar, olive oil, salt, and pepper. Stir to dissolve sugar and salt. Add the chicken wings and mix to coat. Cover bowl or seal bag and refrigerate for 2 to 4 hours.
Preheat oven to 400°. Line a 9- by 13-in. baking pan with two layers of foil. Arrange the chicken wings in a single layer in the pan, and pour the marinade evenly over all. Bake until meat is well browned and pulling away from the bone, about 1 hour and 15 minutes. Serve hot or warm.