Good option is to find a scotch/whiskey bar and indulge on tasters/flights. Kind of expensive but at least you'll get to try a wide variety.
I typically have standards on hand: Maker's Mark, some kind of inexpensive single malt scotch (Macallan or Glenfiddich 12yo), rye (always have a bottle of Templeton's but there are other good brands), and a bottle of Irish (Kilbeggan is grand).
I've also run across a few one-offs that I really enjoy: Jamieson Caskmates is nexpensive and really tasty. Glenfiddich reserve cask is one of my favorites, aged in sherry casks. Maker's Mark has a few really good varieties outside their standard bottle: Private Select, each batch is different but I've liked the ones I've tried, and 46 are both good.