Note of caution: be sure to check you don't have a Vitamin D/Vitamin A combination in the vitamin D supplements.
I recently went to replenish my vitamin D and had a hard time finding a formulation that only had D3 without also having vitamin A. The only pills available at the health store I went to were the vegetarian derived D2, which as jimmylegs pointed out, is not the effective form to take, or a D3:vitamin A combo. I feel comfortable going to to 4000IU with vitamin D, but not repetitively taking taking high doses of vitamin A along with it - the vitamin D:Vitamin A combo pills are not designed for multiple daily doses.
I had a nutritionist provide me with a vitamin D emulsion, which sounds similar to what jimmlylegs described. I will check the label to get the name of it, it is not a prescription. And inexpensive, a bottle is about seven bucks. Each small drop is 400 IU. It is very easy to add to food, especially soups and cereals, and is essentially tasteless. Much better than a pill, and probably is absorbed better.