Personally I would never ever chill a single malt, as it closes up the flavours. I did add a single cube of ice when I was still new to drinking Scotch, but now all I have is a bottle of mineral water by my side of the couch, for adding to certain malts, primarily the high ABV single cask stuff.
For me, to fully appreciate a good single malt, I will use my proper nosing glasses, which hold the aroma better as they are smaller at top, kind of like small brandy glasses. Then it is a question of taking in the aromas for a while before tasting.
Then, after tasting a small amount, if it is too strong neat (like the new bottle of single cask Laphroaig I received in the mail today from the society), I will add a few drops of water and repeat the process. Then add more water etc etc, until I find a balance that suits. A good single cask single malt changes throughout the process, but start with a very small glass, as some single malts are just killed with water, so when you first try it, you don't want to risk too much!
Whichever way you like to drink your scotch is up to you, and there is no right or wrong way if you enjoy it, but there is the more accepted way for purists - ie. no ice or mixers etc, but it's not a rule, just a suggestion.
For me, the more I drink, the more I learn, and I like a wide variety of scotch, which I think includes around 14 bottles open at the moment, as as my mood changes, so does my choice of scotch! I love Islay's, but have plenty of others types.
I also like to enjoy Scotch with good dark chocolate, preferably a good chilli infused chocolate, but again it is to taste.
Experiment, and enjoy.
'Scotch Malt Whisky Society' member