Temper it with water to cut down some of the initial alcohol burn and let it rest for a bit so some of the alcohol can evaporate; makes it smoother to drink neat. You can always add ice too. But personally, I prefer rye for mixing. If I'm drinking whiskey neat, give me bourbon, or maybe Irish or Scotch if the mood strikes. The spicy quality of rye that makes it so harsh when drinking it straight makes for a killer flavor profile in a Manhattan or Sazerac. Next time you have some, make a simple Old Fashioned; dissolve a teaspoon of sugar in a teaspoon of water, add 2 dashes Angostura bitters, 2 ounces of rye whiskey, and twist a lemon rind over the top of the glass and drop it in. Add one very large ice cube if you have it (three medium ice cubes will work, but you don't want it to dilute too quickly) and sip slowly. It's delightful.