Highland Park 12 Yr is an excellent choice as well as some of the other recommendations here. It runs between 50 and 60 for the bottle, kind of steep, but it's the brand that got me to really appreciate the single malt subtlety.

I think when picking a single malt, it all comes down to how much you like peatiness. Some are much more pronounced than others. I've found that I didn't care much for the iodinic and medicine-y taste at first, but it grew on me. Since then, I've really started to like all the Islay Whiskies, which IMO are peat monsters. Nate's recommendation, Laphroaig, is probably my favorite of these.