Proof is a US thing since we have to be different than the rest of the world!
Short Version:
Proof is roughly double the alcohol by volume (abv). Hard liquor sold in the US is labeled with proof but always has the abv listed also.
Long Version:
In the United States, the proof of an alcoholic beverage is twice its alcohol content expressed as percentage by volume at 60°F. So an 80-proof whiskey is 40% alcohol. Recently the United States has begun to label bottles containing wine and spiriits with the percentage of alcohol by volume, instead of proof.
In Europe a different proof system, called Gay-Lussac, is used; it is also the percentage of alcohol by volume, which is half the American proof. The European Union has adopted Gay-Lussac proof as its standard.
In Great Britain the situation is much more complicated. A distilled spirit was originally “proved” by one of several methods. One method involved dissolving gunpowder in the spirit and trying to ignite it. If it wouldn't burn, there was too much water. If it burned evenly and steadily, the spirit was "proven."
Later a legal standard for proof spirit was defined: half rainwater and half spirit proven by the gunpowder method. Such proof spirit was deemed to weigh 7 pounds, 12 ounces per gallon, with a specific gravity of 0.923 at 51° Fahrenheit. A hydrometer introduced in 1725, Clarke's hydrometer, became the standard way tax collectors determined proof. By 1762 this hydrometer was even mentioned in the law defining the standard gallon of spirits, six parts spirits and one part water by weight, and weighing 7 pounds, 13 ounces at 50° Fahrenheit.
A hydrometer, however, can only determine the composition of a water-alcohol mixture if it contains only water and alcohol–and there are other complicating factors, especially temperature. By adding sweeteners, such as molasses, importers could evade the tax on higher proof spirits. After decades of controversy, on 6 January 1817 a different hydrometer, Sike's, was made the legal method for determining proof.
By Sike's hydrometer, proven spirits were at least 57.1% alcohol by volume (49.28% by weight). The British proof system is built on this number. “Proof” spirits, or 100-proof spirits, are 57.1% alcohol by volume. Proofs above and below 100-proof are sometimes referred to as so many degrees under proof or over proof. American 100-proof whiskey, for example, might be called either “87.5-proof” or “12.5 under proof.” For a quick conversion of British proof to American, multiply the British proof by 8, then divide by 7.
Thus the same beverage may be 40 proof (Gay-Lussac), 80 proof (American), or 70 proof (British), depending on where you are drinking it.
Edited by: masta 
