Rittenhouse Rye (100 proof) is the way to go, and it's affordable, to boot (about $20 for a 750 mL bottle). I'm not the only one who thinks so: http://drinks.seriouseats.com/2011/06/best-rye-whiskey-for-cocktails-expert-advice-which-whiskey-to-buy.html
We love Hudson Manhattan Rye: http://www.tuthilltown.com/products/aged-spirits/hudson-manhattan-rye
But we've also tested this recipe with Old Overholt (as you'll see in the recipe slideshow) with great results: http://en.wikipedia.org/wiki/Old_Overholt
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But we've also tested this recipe with Old Overholt (as you'll see in the recipe slideshow) with great results: http://en.wikipedia.org/wiki/Old_Overholt