To build on what tptacek said. If the flavor you are going for is "burn", then high proof will certainly get you there. However if you want more nuanced flavors, at high proofs some the taste buds actually become numb (or overloaded) and you will taste some flavors less, not to mention that at very high proofs many of the molecules that provide taste are "locked up" by the alcohol, and the addition of some water can free them for you to actually taste them more.

I believe it is common practice for masters blenders, such as when selecting casks for blending, actually dilute things down quite a bit, so their taste buds don't become "exhausted" and they can pick out more nuance.