The annoying way I look at it is that if I'm going to pay 3x as much as I pay for VOB to get a scotch, I want something more interesting than a nicely balanced whiskey with some spice and some caramel notes. That's all well and good, but I can get that from Four Roses.
But one thing I cannot get from American whiskey is nicely balanced whiskey with powerful wine notes. As a rule, American whiskeys are aged for a relatively short time in new oak, and Scotch is aged for a long time in used barrels. So Scotch distillers are experts at imparting flavors from different casks, and that's kind of what I'm paying for.
That, or I'm paying for smoke and phenols and brine, which I'm sometimes in the mood for, but mostly I avoid.
I tend to not like heavily sherried Scotches (sherry-bombs), preferring oak, smoke, peat, brine, and nutty flavors. Sounds like you enjoy the wine/sherry though. Luckily there are plety of options out there for both of us.
Sláinte!
Man.. It really comes down to preference. I find Old Pulteney 12yo to be one of the best values out there (I prefer the 17yo, but it is for sure more pricey).