While I've been drinking whisk(e)y, and single malts in particular, with more than casual focus the last 5+ years, I still feel like a newbie, at least compared to my wine awareness. In the last bunch of months, when I do sit down with a single malt I find I really like to take my time with it. The handful of tastings I've been to have been wonderful eye-openers (especially the Signatory and the Bruichladdich), but also tend to overwhelm me.
I'm happy to try almost anything but I admit I'm less attracted to the super-peaty stuff. Most recently I've enjoyed: Highland Park 12 and 18, Caol Ila 12, Bruichladdich 3D (2nd), Rosebank 14 (Signatory), and Auchentoshan Three Wood. Oh, and the St. George Single Malt (hey, they're local).
So ... suggested strategies? Eat often in between groups of tastes? Get a pour, then run off to a corner to take swirls/sniffs/sips, adding water in between? Expensive/unfamiliar stuff first? Try something I know as a baseline to start? Just get in line an' begin drinkin'? :)