Scotch - personally, I only bother if it's single malt, and a decent age. Glenfiddich or Glenmorangie are good starting points - go for one that is at least ten years old. Good scotch is expensive, but you don't drink much at once, and you don't mix it with anything more complicated that water, so its worth it. I like Tallisker and Lagavulin.
Gin - Bombay Sapphire or Tanquery. Gin is a fairly complex combination of flavourings, so it does matter what kind you buy. The classic drink is the gin and tonic (gin, tonic water, lime slice).
Vodka - vodka is a pretty neutral spirit, and most of the price difference is actually due to packaging rather than huge differences in taste. Go for any readily identifiable, reasonably priced. For something different, the Polish buffalo grass vodka is nice. I usually drink vodka neat (and very cold), or with soda.
Rum: White rum and dark rum are very different. Dark rum is much stronger flavoured, and is the key ingredient in rum and coke or heated rum drinks. White rum is better in cocktails like mojitos or daquiris, where dark rum would overpower the other ingredients.
Rye whiskey (aka Canadian whiskey) - I just buy at the cheaper end, as I generally use it as a mixer, and it has a fairly bright taste. I mix it with gingerale or coke.