Adding water opens up the whisky, releasing the aromas or "nose" and flavor from the drink. If you do decide to add water, make sure that it is at room temperature and that it is filtered.
Scotch can taste quite strong to people not used to drinking it and water will cut the strength of the taste, as well as dilute the alchohol content. Some scotch drinkers add a bit of water because they find it enhances the taste and aroma of the scotch.