Some good advice so far - and some shocking advice too
The Glenlivet linked to earlier is a nice whisky - quite mellow and tasty. The Bowmore linked to above is scrumptious but being an Islay malt, is not universally appreciated - it can be an acquired taste.
To play it safe, anything from the Balvenie range will be splendid. 10yo is nice, 12yo is really nice, 15yo is excellent and the 17yo (which I've not long finished a bottle of) is absolutely scrumptious. The 21yo isn't really any better than the 15yo and isn't worth paying the extra for in my opinion.
If you're not used to Islay malts and would like to dip your toes, the Bunnabhain mentioned earlier is somewhat milder than most Islay malts and is a good starting point for those unfamiliar with the breed. Bruichladdich and Caol Ila are another two less aggressive Islay malts.
If you're acquainted with Islay malts and enjoy them then you can't go far wrong with a bottle of Laphroaig quarter cask as suggested earlier. If you enjoy that sort of thing then, next time you have a spare couple of hundred quid or so lying around, try a bottle of 30yo Laphroaig - best £200 I ever spent
As for how to drink it, drink it how you like it.
When I try a new whisky, I try it neat first (there are one or two I prefer neat - but not many) then I add a few drops of water, then a little more and so on until I find the mix I like best. It varies with every whisky (I really should write it down as I can never remember how I prefer each one
).
I prefer most whiskies with a little water, I find it enhances the taste of most whiskies and I challenge anyone to say I don't know what I'm talking about
Edit: At above post, Lagavulin is a yummy whisky too.