You're going to get a lot of different feedback on that, if everybody chimes in. And every answer you get is right -- and wrong. I know, because I am a representative of every single, conceivable answer.
Once was a time, shortly after I became a serious bourbonista, that I considered anything short of 'neat' offensive. Heaven forbid one should add water, like Scotch drinkers do!

And why waste a good bourbon in a mixed drink, especially one so simple as bourbon and Coke?!
Know what? I've now established enough confidence in my bourbon likes and dislikes that I do what I damn well please -- including, if I may, drinking a beer when I don't feel like having bourbon.
I still enjoy bourbon neat quite often -- and it may be precisely the right way to get to know it intimately quickly -- but I also mix it with ginger ale, diet cola or, if it's high-proof G.T. Stagg or something, water. A good Manhattan is excellent, as are mint juleps -- and I even made my first Sazerac not too long ago. Not perfect yet, but it wasn't bad. Heck, I marinaded my steak in bourbon earlier tonight.
I guess what I'm saying is simply this: the more we learn, the more we learn we don't know. Enjoy the bourbon, however you may -- and if one way supersedes others, okay. But do not be alarmed or made to feel inferior if you find that you like it, well, however you like it.
Cheers.
