I usually recommend Speyburn for a good "starter" scotch. It is a fairly mild speyside whisky, very mild, and also pretty cheap (~$25 for a bottle).
Do you have any experience with hard liquor? I find that most folks react to the alcohol, it burns and they are not used to it. Here is my recommendation:
1. Get the speyburn.
2. Pour a few fingers into a glass, then add some water, a few splashes. This will dilute the alcohol a bit (NO ICE, this cools the scotch and will just squash the flavor without diluting the alcohol).
3. Sip it slowly, inhaling deeply just prior to each sip (will sting at first from alcohol vapor), and letting the whisky roll over your tongue. Focus on the flavors you taste, rather than the sting of the alcohol. "Nosing" the whisky first will intensify the flavor.
4. Do this each night. By the time you are halfway done with the bottle you should be over the new experience of the alcohol and you can start cutting down the water, by the end of the bottle you should be drinking it with no water (straight, or "neat") or just a small splash (some folks feel this opens up even a premium whisky).
Once you are done, which should take a few weeks depending on how often you drink, you should be over the alcohol and ready to appreciate the flavor of the scotch. Then get a scotch book or use a web site to pick some others, or if you are lucky, go to a bar that does whisky flights. You should be able to appreciate any hard liquor for the flavor, rather than the alcohol sting, and you can decide what is your preference from there.
This is why the Lagavulin and Laphroaig whiskies are so popular. Coming from small islands, they age in a sea-heavy air and thus pick up a strong peaty/iodine flavor, which many develop a strong taste. Others like the peppery Talisker, the spicy Highland Park (my fav), the sweet bourbons, the flowery speysides, or the honey notes of Balveine.