Single malt Scotch, after all, is not intended for getting drunk on. You don't just open up a bottle of sixty dollar single malt and guzzle it down like Old Crow or Evan Williams, so there's no need or reason to mask the flavor. Single malt Scotch is sipping whisky- it's all about the flavor.
The first time I enjoyed a glass of single malt with a friend in Scotland, though, he told me that it has always been standard practice over there to add just a little bit of water in order to “bring out the flavor” of the single malt. In other words, it's not for the purpose of disguising the taste, but of making it come alive to its fullest extent. I was rather puzzled by this assertion, but when I tried it that way I had to agree that the flavor of the whisky seemed a little bit more rounded and lively. It was a subtle difference, but it was there.
Later on, I read an interview with an old Scottish master distiller, and he said the exact same thing. Apparently it's actually part of the tradition of Scottish single malt to drink it with a little bit of water. I still prefer to drink mine straight up, but if you choose to add a little water to yours, you may rest assured that you are in good company.