I'm actually going to disagree a bit with a couple of the posts here because the the first thing you have to acclimate to is the burn. It's the same with wine or beer, but for different taste profiles. Someone that has only ever enjoyed coke would not enjoy a strong IPA right off the bat. Instead you start with Miller Light or Bud Light, then at some point you think Shiner is the end all be all of beer, and then at some point you find yourself drinking something from Russian River wondering how you ever stomached Shiner, let alone Bud Light.
For bourbon, if you start trying to drink 100+ proof bourbon or spicy ryes neat right off the bat, you're going to have a bad time.
I'd say go with a whiskey/coke iced, backing off the coke. Then it's whiskey on the rocks. Then it's whiskey with a splash. Then it's whiskey neat. By the time you get to that last step, you're going to have cultivated an appreciation for the flavors without getting pushed off because of the burn/alcohol.
As for the whiskey, cheap is a good call, but really you're looking for the standard bearers of the market that are slightly elevated. I personally believe there's a reason they all are there, and it's because they make money as a result of being easily accessible and extremely consistent. My choices here would be something 90 proof, under $40, and easily found on the shelf.
- Buffalo Trace
- Woodford Reserve
- Makers Mark
- Bulleit Rye