What's a good sipping liquor?

I prefer whiskey when I drink liquor but I always mix it with soda. I'm trying to quit drinking beer all the time and also cut out the carbonation from my diet. However, when I'm sitting at home relaxing I get the urge to have a drink or two to catch a little buzz. I want to know what some good liquors are that are good to sip on by themselves, like people in movies always ordering a few fingers of scotch and sipping on it. What's something good to sip on but also relatively cheap as well?