I used to enjoy my single malts neat, but after reading so many recommendations about adding water, I just had to try it a few years ago.
There's been so much valuable input already, so I'll be brief.
I typically add about a tablespoon of still water to a dram, a bit more if it's at cask strength. My experience is that this takes the alcohol "edge" thus letting me explore the tastes more fully.
However, be advised that since all whiskies are different they also react differently to the addition of water and not always favourably.
Some whiskies and some types of water also don't mix well.
Consequently I too taste the whisky neat first, then add a little water and taste it again, if they don't mix well you'll know it in an instant.