Depends where you live, but sometimes you can get Lagavulin at the upper end of your price range. That's the best Scotch I have ever tasted. It's EXTREMELY smooth, and I recommend that you drink it without ice to get the full effect.
There are two general categories of scotch: Single Malt and Blended
Blended scotch (like Johnny Walker, Dewars and the Famous Grouse) are produced by "blenders" who buy single malt by the cask and "blend" or mix them together to produce a scotch that tastes more "average" than any individual malt. Blended scotch also tends to be cut or "watered down" with grain alcohol (essentially everclear). There is no real rule of thumb here, but up to 50% of a blended scotch can be grain alcohol. The more expensive the blend, the less the percent of grain alcohol (most likely). Nonetheless, because of this, blended scotch is never as smooth as single malt scotch, and rarely has the complexity of flavor.
Occasionally you'll see a scotch labelled as "pure malt" -- usually a higher-end Johnny Walker. With ONE exception, a "pure malt" is still a blended whisky. It just means that they didn't use any grain alcohol in the blend.
Glenfiddich calls itself a "pure malt" (or at least they used to), but in-fact falls into the category of Single Malts. Single malts come in a number of different types and styles, delineated primarily by "region" (which is often noted on the bottle). The major Single Malt regions are:
Islay: Smokey-peaty flavors, sometimes salty (especially Laphroaig) and usually very smooth. This is the region for Lagavulin, and pretty much all of my favorites.
Speyside: The biggest region (by number of distillers), this one is home to Glenfiddich. If you don't fancy the peaty flavors, Speysides are for you. The Macallan is also a speyside, for what it's worth (I personally believe that the Macallan is overrated, marketed to Americans in a bid to take their money).
Highlands: Highland malts tend to vary a lot more than other regions and will have features of both Islay and Speyside malts in many cases. One of my favorites from this region, Oban, is very similar to an Islay malt even though it isn't located in that region.
Cambelltown: At one point this was the largest region, but now it is one of the smallest. It has three distilleries: Glengyle, Glen Scotia, Springbank. I don't believe that I've tried any of those yet, but they are on my list.
Lowland: Another "small" region, the Lowland distilleries are Auchentoshan, Bladnoch, and Glenkinchie. All of which are good, and are the lightest in salt, peat and smoke, though they are still very smooth.
Some people consider "Islands" to be a separate region. Officially these distilleries are included as part of the "Highlands" region though. Famous islands malts include Talisker (another of my favorites), which is distilled on the Isle of Skye.
I always recommend single malt served neat and sipped. Ice and water only dilute the complex flavors of the single malt and (in my opinion) makes the experience less enjoyable.