My favorite is Highland Park 12 YO. Certainly not the most expensive, but a light, clean scotch with just a touch of sweet finish. It's the northernmost Scotch distillery in the world, located in Kirkwall, Orkney Islands.
For those of you into unblended, cask strength (120 proof or so) Scotch, try the Scotch Malt Whiskey Society of America (smwsa.com). They visit distilleries all over Scotland, buying a cask of their best product (300 bottles/cask) and make it available to members. Additionally, their headquarters are in Leith (near Edinbourough) and you can visit when in Scotland. It includes a club, bar and flats for members.
The SMWSA also hosts tastings around the country from time to time to introduce new and different Scotch's to the membership.
Emil