If you like (or are inclined to try) smokey scotches, a great entry point would be Lagavulin. Talisker is also wonderful, a tad lighter and more refined while Oban is earthier and rougher. All three are expensive ($60-90, though sometimes you can find deals). But any one one of those would be a good introduction to smokey scotches. (as is Laphroaig, but it is rougher still and is sometimes better approached after trying one of the above.)
But I usually recommend Lagavulin as a good starting point--not just because it is my personal favorite of the mainstream Islay (smokey) scotches, but also because I think they have found a great balance between the elegance and delicacy of the Talisker and the earthy darkness and depth of the Oban.
For those who don't know, the Islay scotches are smokey due to a dearth of wood on the island with which to roast the malt, so they use peat instead. The complexity of the flavors created rival, no, match the complexity found in fine wines and ports.
If you aren't ready to take the plunge on such an expensive trial, many 'boutique' (read 'fancier') bars carry one or all of the above and you can try a shot for between $6-10 (at which point, if you like it, you will immediately regret that you didn't put that money toward buying a whole bottle instead, but so it goes...)