Blind taste tests of Scotch has shown the most favored to be bottles that cost about $40. I tend to agree, however, some of the more expensive bottles costing $300+ have a distinct taste the cheaper bottles do not. For instance, Glenlivet 25 and Reserve have a peppery quality not found in the 21 and lower years, which is desirable if smoking the appropriate cigar. Of course, they also have greater strength but only if consumed naked. Adding water or rocks means forget drinking the more expensive bottles as you just weakened them; maybe the peppery notes are still there but their strength, and desirability, is reduced.
Perhaps that’s the reason for whisky stones (http://www.thinkgeek.com/product/ba37/).