This.
I love scotch, but I generally dislike bourbon, especially cheap bourbon. It has a syrupy-sweetness to it I don't care for; I find it very similar to the effect Sumatra leaf has on a cigar, which I also don't like. (There are a few exceptions, Four Roses Single Barrel being one of them. I don't think it's under $40 though.)
As for good scotch, Lagavulin used to be my favorite, but my go to now is Talisker 10. Still has the smoke and "umph" of Lagavulin, but also a much better balance in my opinion. Trader Joes carries a single malt scotch that's really good and very inexpensive, about $18 a bottle, called Finlaggin. It's no Talisker, but it's very good for the price and is my vote for a budget scotch.
Like cigars, trying everything is the key. Hit your local bar and start sampling. Once you've tried a few, identify what you liked and disliked about them, and better recommendations can follow.