Think of whiskey as you would the world if wine-it's really that varied.
Very simplistically single malts trump blends, but a good blend could be nicer than a poor single malt.
A blend is a mix of whiskeys chosen to achieve a desired flavour, normally, it's made of younger whiskeys so not as smooth as an aged single malt, but an expensive blend will have older whiskeys in and can be smooth too.
As far as Scottish whisky goes different regions have different traits. Islay gives us peaty beauts (lagavulin, laphroig, coal ila) speyside gives a sweeter offering (macallan prob the most advertised - bonds choice of late, generally think a sherry finish with this region) and highland will be middle of the road (again, very simplistic view. Glenfiddich a well known one)
You then have the Irish whiskey, generally a bit 'harsher' and I'd probably say closest to a highland whisky, and the bourbons/ryes of America. These can vary from a jack Daniels which I personally compare to a bells, to a high west prairie reserve which has a great flavour profile. My personal opinion of bourbon at the cheap end is it lacks the depth of flavour and different tastes that a whisky would, but the higher end stuff can be as good.
Once you get in to the higher end of single malts you can look at single casks (the bottle is taken from one barrel/cask, as opposed to a normal single malt which is made of a multitude of barrels from the same batch-each barrel will have a slightly different flavour, so single cask is for the connesouir that appreciated the subtlety of whisky) there's cask strengths which often need a drop of water or an ice cube to 'open' up the flavour fully, and also non chill filtered, and non coloured-essentially the whiskey straight from the barrel-often very pale, but packs a flavour you'd not expect.
When it comes to mixing-some will need a bit of ice or water to help it taste its best, bushmills is the perfect example of this, an ice cube takes away the harshness and makes it delightful, or arbelours fantastic cask strength d'abunadh, which needs a few drops of water to fully appreciate (it's about 60%abv). Generally a single malt wouldn't be sullied with a mixer, and the more expensive blends would be the same, for Irish coffees grants, famous grouse etc are fine (though not Irish!) and for with Coke jd is ok.
Air also changes the flavour, so something you drink on night one and think blergh, might be a different animal a few days later.
As to which whisky id recommend-well, it depends entirely on the person, my preference is towards the peaty end, but I'd happily enjoy a dram of most offerings, apart from jura elixir, that stuff was awful!