I tend to prefer my whiskey neat, but part of the fun of a cask strength is dashing in varying amounts of water to see what flavors bloom.
I did have a scotch on the rocks once that was very agreeable, in the brandy library in NYC. They use a 2" diameter ice ball instead of bunch of smaller cubes and the result was a less diluted but still chilled drink.
On another occasion, a friend of mine had a set of chillers made by piet hein. They are about the size of an ice cube but made of stainless steel with a liquid core. Once frozen, the chill a drink nicely without diluting it.
-Rob