As most have said on here, single malts are the pinnacle of the whisky world. Unlike most of the posters, however, I'd recommend the Island malts rather than the speyside or highland malts mentioned so far.
Most of them come from the island of Islay, but Jura whisky is also categorised as an Island malt. Whereas Jura has only one distillery, the neighbouring Islay has eight active distilleries each with a distinctive malt -- they are hugely different in subtle ways, but what they all tend to have in common is a smoky, peaty taste. It's an acquired taste, but once you've acquired it, you'll never regret it. My favourites, in addition to the well-known Laphroaig, are Bruichladdich, Lagavulin and Coal Ila, although I currently have a 12 year old Bowmore on the go.
Laphroaig tastes like expensive and rather cheap, cough mixture.....that's been knocked up in an open cauldron, cooked over some burning pallets and dung caked rubber tyres.