Yes, if you want to taste the real flavors of whiskeys, you should drink them neat. By doing so, try to sense the woody, spicy, and other flavors like smoky, peated, floral, fruity, salty, grassy, and earthy.
Also, whiskeys are matured in barrels. For instance, bourbons are aged in charred oak barrels. Take a sip of bourbon, and try to taste a smoky oaky flavor.
As for scotch whiskeys, different distillers will barrel their liquors in different casks, including American bourbon barrels, Spanish Orlosso casks, sherried barrels, and port casks. Some whiskeys will even be aged in two barrels early or late.