Whisky/ey, an over arching term for a type of distilled spirit from a mash of fermented grains in strengths from 80 to 190 proof. Types include bourbon, rye, tennessee, japanese, scotch, irish and canadian. From here on out, things get a bit more murky.
In general, american and irish producers of these magic waters tend to favor the spelling whiskey, while Canadian, Scottish, and Japanese distilleries tend to use whisky (The Scott's are pretty darn adamant about it actually). Technically, they are two words for the same product. Whiskey is not a different type of alcohol than whisky. It is simply a preference of the spirits origin. So, when spelling the word, the best practice here is to use the term used by the native country. Especially when in Scotland.
Bourbon is a type of whisky/ey made primarily from corn (51% or more) and aged for a minimum of two years. Most bourbon is aged for four or more years in oak barrels. Kentucky bourbon is simply made in Kentucky.
Scotch is another type of whisky (no 'e') made mostly of malted barley and obviously produced in Scottland. Only whisky distilled in scottland can be called scotch. It can be made as a single malt (made from omly malted barley) or a blend (barley and other grains).
As to what is best? That my friend, is totally up to you. I suggest trying them all at least once :)