If I were to tell someone to try whiskey for the first time, it would be Old Overholt, on the rocks. Old Overholt is an incredibly underrated rye whiskey. It's like the Two Buck Chuck of whiskies - very cheap price, but in a blind taste test, I bet most people would rate it as a high quality whiskey. To me it tastes better than many high dollar small batch ryes.
On the rocks may be sacrilege to some, but for a first time whiskey drinker, I think drinking it cold makes it more palatable. If you decide you like whiskey, there's plenty of time to become accustomed to it and drink it neat.