The very, very quick primer
1. Figure out what style you like, starting with the mash bill, which is not an outrageous bar tab rung up by Alan Alda, Loretta Swit, and Jamie Farr, but rather the grains that make up the whiskey. Your point of entry will depend on whether you prefer a mash bill that veers traditional (like Knob Creek), contains a fair amount of rye (e.g., Bulleit, whose bourbon contains 28% rye), or goes heavy on the wheat (prime example: Maker's).
2. Once you've figured that out, find a distillery you like and run through its full roster. The mash bill is only the beginning -- every operation has further distinguishing factors -- everything from the yeast strain they use, to how they treat their barrels. If you like a distillery's flagship bourbon, you're going to find you enjoy their less expensive offerings as well.