The best thing you can do for yourself right off the bat is to order up. Ditch the well liquor. You're probably not going to know what to order or buy when you're first starting out, so ask the bartender or your friends for what they recommend and choose something mid-range. (Save the highest range stuff for when you'll really appreciate it.)
1. Start with a Cocktail - Pick a cocktail that sounds good to you and has a decent mix of whiskey with other liquors and ingredients. You want something where you taste the whiskey, but that's not going to be a wheeze-inducing shock. (Personally, I started with whiskey sours!) Order this cocktail and make it at home until you're familiar with the way whiskey tastes.
2. Up Your Cocktail Ante - Move on to stronger whiskey cocktails, like manhattans and godfathers (amaretto and scotch). These cocktails dilute the whiskey less and give you a better sense of the liquor. Order these and make them at home until you feel ready for more.
3. Whiskey on the Rocks - The next step is to take your whiskey over ice. At first you can let the ice melt a little to dilute the whiskey before drinking, but before long, you'll be sipping it as soon as the drink is poured.
By the way, ordering whiskey over ice is perfectly acceptable and sometimes even recommended. You taste different flavors and nuances in the whiskey when it's cold instead of room temperature.
4. Whiskey Neat - You're ready. Totally. Take little sips. The point is not to knock it back, but to appreciate the whiskey for all its fiery nuances. At first, it will just taste like tongue-numbing liquor. But you'll gradually get used to this and start tasting all those things that whiskey lovers talk about: spicy notes, vanilla, caramel, peatiness, smoke, and on and on. It's a great big whiskey world out there, and now you're ready to enjoy it!
Do you drink your whiskey neat? Or have a favorite whiskey cocktail?