There are some good suggestions here. Aside from what has been mentioned, my (local) < $40 favorites include: Evan Williams Single Barrell, Bulleit (including and especially the Rye), Weller Special Reserve (If you can find it), and 1792.
Have you tried George Dickel white? It's a great Tennesse sipping whiskey and one of the best "Bang for your Buck" whiskeys out there.