That's a tough question, and the replies are varied. I have acquired quite the collection of liquor. crown royal does make one of the best Coke mixers, but it doesn't have the finess as a sipper. I have Crown Royal Limited Edition, Special Edition, and XR, and none of them have the finesse I prefer in a sipper. I am a Canuck and one of the Canadian products you cannot get here anymore is Forty Creek Four Grain. You Yanks can attain it though. Forty Creek also makes a decent Single Barrel.
Us canucks have some of the best mixers but they aren't the best sippers. I have been sampling the Bourbons lately and have a few excellent sippers. Buffalo Trace distilleries have the Antique collesction and the George T. Stagg is amaizingly smooth for 141 proof! The Pappy Van Winkel 20 year is worth adding to any collection. I have been collecting the Woodford Reserve Master Collection since it's inception and have been impressed as well. The 'regular' Buffalo Trace is decent for 'the buck'. I stay clear of the big marketers such as Jack Daniels (and Bacardi, Smirnoff, Cuervo, etc) since most of their products are inferior (although these companies have a few 'gems', 99% of their products are swill. I support the 'little guys' -- I WILL NOT EVER BUY AT WAL-MART)
One of my favorite sippers has been tequila. Many of the small producers make incredibly complex spirits. You are best to start out with the anejo 'aged in Bourbon casks' bottlings, but as your tastes develop you will probably return to the blancos/platinas.
Rum, though, is still my favorite. The marketers will make you think that Jamaican/Carribbean is the 'best' but the products from central America (Venezuela/Nicaragua) are incredibly complex especially for the price. The best rum IMHO is from Guyana. One of the bottlers is El Dorado, and their 21 Year Old is an incredible value!