I actually prefer high-end cognac to scotch, but it can get REAL expensive in a heartbeat, and virtually any "affordable" cognac isn't worth drinking. A couple good ones I've had:
Remy Martin Louis XIII (overpriced, but you've got to try it once in your life)
Hardy Noces D'Or (excellent stuff, tastes like it costs three times as much)
Hardy Noces de Perle (very good, but not really what I was expecting; a bit on the sweet side)
Hennessey Paradis (a lot better than I was expecting from the Hennessey marquee)
Martell Cordon Bleu (I didn't like it the first time I had it, but after trying a second bottle I was much more impressed with it... still can't hold a candle to the Noces D'Or, but it costs half as much)
Mind you, the cheapest bottle on that list is $100, and for that you can get the excellent Lagavulin 16-year-old scotch which I prefer to the cheapest cognac I've listed... so I think scotch is the better bargain of the quality spirits. But a really high-end cognac is truly an exceptional experience, and, in my mind, the absolute top of the liquor heap.