I haven't read all the replies so apologies if any of this is a duplicate. These are all my opinions along with information I have learned from professional tasters and distillers at the various tastings I've attended. I hope this isn't tl;dr but I'm pretty passionate about whisky
Good on ya for getting started. Scotch tasting (and whisky/whiskey in general) is a wonderful path to do down. There are so many flavors it always blows my mind.
I don't know the price, but look into The Macallan 12. It's a very nice single malt that's easy drinking. Caol Ila is also lovely. Something with a little more oompf would be a Talisker or Laphroaig, but they're also a bit more pricey.
Another thing to mention is that a bottle of whisky will last you quite a while and does not spoil even after opening. So take that into account when budgeting.
There is no rule. I would recommend always starting neat and going from there. A smallish brandy snifter is nice, or rocks glasses work.
Nose the whisky but don't swirl it - that just releases alcohol aromas that assault your nose. Keep your nose in the glass and breathe in the aroma. You'll get past the initial alcohol hit and start to smell the whisky itself.
Take a sip and let it hang out in your mouth for a while. The Laphroaig taster I met said one second for every year the whisky is old.
Swallow and enjoy the lingering aftertastes.
Re: ice and water. Water does not ruin, mask, hurt, offend, defile or anger your whisky. In fact water can reveal a lot of flavors that you don't get neat. When tasting at the distillery to blend barrels (yes, "single" malt is still blended from different barrels) the tasters cut the whisky with up to 50% water.
I will often add one ice cube to a glass and enjoy tasting how the whisky changes as it melts. Even just a few drops can make a big difference in some whiskys.
Here is a nice link with some more information. From that site:
So taste first. Think about it. Make notes. Then add a few drops of water and taste again. It's all part of the fun. Don't let anyone tell you how you "should" enjoy your whisky. You drink it however you like it.
I've been hosting a yearly tasting at my house. It's a lot of fun and encourages everyone to try new things. Here was the selection at the '08 event:
-Joe
I love that image. I hope some of the other tasters brought in some of those bottles. That's a lot of money in whiskey!