From what I know, at first alcohol was not forbidden and the Arabs loved their alcohol but that was later changed.
Found some information for your reference.
http://en.wikipedia.org/wiki/Islamic_dietary_laws
In Islam, alcoholic beverages—or any intoxicant—is generally forbidden. Intoxicants were forbidden in the Qur'an through several separate verses revealed at different times over a period of years. At first, it was forbidden for Muslims to attend to prayers while intoxicated (4:43).
Then a later verse was revealed which said that alcohol contains some good and some evil, but the evil is greater than the good (In Surah Al-Baqarah: 219, it states "They ask Thee concerning Wine and Gambling, Say: In them is great sin, and some profit, for men; but the sin is greater than the profit.").
This was the next step in turning people away from consumption of it. Finally, "intoxicants and games of chance" were called "abominations of Satan's handiwork," intended to turn people away from God and forget about prayer, and Muslims were ordered to abstain (5:90-91). In addition to this, observant Muslims refrain from consuming food products that contain pure vanilla extract or soy sauce if these food products contain alcohol.
Some more links for your easy reference and understanding.
http://islam.about.com/od/health/f/alcohol.htm
http://www.themodernreligion.com/alcohol.html
Personally, I think that like with most things in life, the decision lies with you. You do certain things and you don't do certain things after weighing the odds and you take chances in your own life.
As some of you have rightly pointed out here, there are rules and regulations governing countries and places everywhere. They (the rules) definitely cannot please everybody and you have to abide by them if you happen to be there, and the law must be fair and impartial to everybody.
Capital punishment for drug smuggling in Singapore may appear barbaric to others but it has been deemed necessary in Singapore and it does help to keep the streets cleaner and we don't really have to worry about stumbling over drug addicts in the alleys like in KL or elsewhere.
So, it helps to know that sometimes rules are not really meant to oppress but rather as a guide because it has been deemed to contain more good than evil.
So, ya.