Would this be a bad time to mention my six years in Grad school at St Andrews? Sorry... couldn't resist. :)
I'm loving the Burbon suggestions as that's my next thing to try out. I'm not sure how I've avoided it this long, but there you go.
If you do want to go the single malt route, the options can be dizzying! Each region has its own general character, and each distillery within each region has its own character, and each bottling/age/expression from each distillery again has its own character. So, in short, it is *very* difficult to suggest one to try for starters.
Some of my favourites:
Aberlour - personally I think this is a great one to start with. Their 12yo is not too pricey, and it is a nice balanced malt. Their a'Bunadh, although pricier, is absolute magic.
Dalwhinnie - this was one of the first whiskys that I "got". The first that made me think "that tastes like more..." I now find it a bit flat and not as interesting as others, but it's definitely a good one for starters
Oban - another highly recommended one to start with. Nothing too extreme, but interesting nonetheless
Jura - absolutely lovely stuff. Has a bit of a taste of the western Isles, but not overpowering. "Superstition" is the only one I've tried so far, but there will be others.
Islay whiskys - very distinctive, very smoky/peaty. If you want to try the extremes of whisky, you can't go wrong with an Islay malt like Laphroaig, Lagavullin, Caol Ila. BUT be warned. Some of these fall into the love 'em or hate 'em category. I would avoid as a first one, and work towards the Islays.
Glenfiddich/Glenmorangie/Glenlivit - these are amongst the most popular and best selling malts out there. Personally (and this is ALL just personal opinion) I think that speaks to the triumph of marketing. They are all good, but I would say not great. Not that there's anything wrong with them. It's just that there are (IMHO) other malts available in the same price range that are more interesting
BUT my vote is for Highland Park. If you can afford the 18yo, go for it. It is absolutely beautiful stuff. But pricey. However the 12yo is also very good. It's very balanced, dangerously drinkable, and a really top drawer whisky.
And as for the vexed question of adding water and ice, do whatever you like and don't let anyone tell you otherwise! But I would suggest trying different things out. Try it neat, then add a tiny bit of water. Try it again. Wait a few minutes and try it again. Maybe add some more water and see what that does. And if you like, try some ice. The adding water and waiting thing will change the smell and taste of your whisky. Sometimes a little, sometimes dramatically. And that change can evolve over time. But the bottom line is, enjoy it how *you* want to enjoy it. :)
Charlie MacLean explains it far better than I ever could:
https://www.youtube.com/watch?v=exc3Rzrvi7o
EDIT: I should have said the 12 yo Aberlour - I have not yet had their 10 yo.