Ok, you cannot even call Scotch Whisky by that name unless it has simply barley, water and yeast. That's it. If any other ingredients are put in, it is not Scotch Whisky.
I agree with a previous poster that a lot of it is the power of suggestion, but there is also something much deeper. You have to realize what the casks these whiskies sit in have gone through. Some of them have held a huge variety of different spirits that impart an incredibly complex and numerous flavors to the final product.