Hoo, prepare for too much information :)
So you have a couple different big categories, and then sub-types within that. For more on how whiskey is made and the types, see here.
My personal preference is generally Kentucky bourbon, followed by Irish whiskey. I'm not typically a fan of Tennessee whiskey (with some exceptions) or Scotch. I prefer some combination of bite + sweet, and so tend to avoid the more peaty or smoky flavors common in Scotch. I also don't generally like rye, as they're too bitter for my taste.
To my experience, there is a stronger correlation between price and quality with whiskey than with wine. But this isn't 100%; older (and thus more expensive) tends to be smoother, with a potentially more interesting flavor, but you may find you prefer a cheaper kind from one distillery versus something more expensive from another. Pricing is here in Virginia, but we can only get liquor by the bottle from state-run ABC stores (so YMMV). What I'm listing is for a 750mL bottle. That said, this is only true to a certain point, with many of the super-expensive ones not really worth it.
There are also a couple different "standard" ways of drinking it. When I first started getting into whiskey, I'd drink it on the rocks (i.e. with ice), but now I prefer it neat (meaning with nothing added). That's sort of in keeping with my palette generally; I'm not a big condiment person, for example, as I want to taste what I'm eating.
First, I'm not really willing to go lower than mid-range, which I consider around $40 per bottle. If I want to spend less, I'll buy something that isn't whiskey and mix it. But depending on your area, you may be able to find the same stuff for less. I'm also not going into detail about "tasting notes" or whatever, since I don't really have the vocabulary. I've linked to reviews wherever possible, but as with wine (or anything else you drink, really), it's going to require some experimentation to find what you like.
Starting with the Irish, regular ol' Jameson is probably the cheapest thing I'll mention ($30), and is quite good. It's what got me into whiskey, and is a little lighter so is a good introduction. Eagle Rare 10-year, made by Buffalo Trace, is in the same price range and is also quite good, and would make an excellent starter bourbon given the taste-to-price ratio.
Next is Makers 46. It's a variation on Makers Mark (and is made by the same company), whereby they take a fully aged barrel of Makers, add a different kind of wood, and then let it age a few more months. It sweetens it a tad, and adds a hint of vanilla. Regular Makers Mark is also good, and is a tad cheaper. (Here in VA, the 46 is around $40, and regular Makers is about $10 less). Also in this range would be Jameson Black Barrel ($40), which is regular Jameson that is then aged further in barrels that were formerly used for stout beer and sherry.
At a similar price point ($45), Four Roses Single Barrel is excellent. Their Small Batch is also good (and is only $35), but I prefer the Single Barrel. Buffalo Trace is another great option for a similar price range. Elijah Craig's better stuff can be good (I liked their 12-year, but they've since replaced it with their Small Batch, which I haven't had).
Going slightly higher in price point would be Jefferson's Reserve Very Old ($53). It's my new go-to for special occasions, and is for me the best bang for the buck. Next up would be Blanton's, which is starting to get pricey ($60). It is superb, however. Another Irish shows up here: Red Breast 12-year ($62), which is pretty different from the bourbons here (tending towards fruitier and with less bite), but is also very good. They have some other variations (15-year, 21-year, and cask strength) that are more expensive still, but which I haven't ever tried.
Still more expensive is Jefferson Ocean. This is $80 for the regular stuff, $100 for cask strength. The conceit is that they literally put the whiskey barrels on a ship and sail that bitch around the world for a few months (the idea being different kinds of air and the rocking of the ship). Honestly, it's not worth it to me. It's definitely smoother than cheaper things, but it's almost getting too smooth for me, to the point that the flavor stops being interesting. I'd much rather have Blanton's or Red Breast at that point.
Finally, there are a couple local ones that are worth checking out, although they may not yet be available outside Virginia. Reservoir is made here in Richmond, and is quite pricey ($85). It's tasty, and is slightly unusual in being made from 100% corn. Another is Ironclad, made in Newport News (right where the James River meets the Chesapeake Bay). They only sells theirs in 375mL bottles right now, which run $38 here. Supposedly being so close to the water makes a difference in the taste, but I've never tried. I have had Reservoir, which is quite good.
You can have things like Johnny Walker Blue (which is Scotch) or Pappy Van Winkle that are a couple hundred bucks a bottle, too. I'm not willing to go that high for a drink, and to be honestly can't imagine that they're truly 4+ times better than something like Blanton's. I expect there's a (large) extent to which it's just about the prestige factor.
Anyway, that is your TMI on whiskey.