Depends on what your priorities are.

Luxury hotels in Edinburgh like the Balmoral (my preference) or WA and others can organize tastings. The Scotch Malt Whisky Society offers tastings, too.

To me, collector and avid drinker of single malts, the best experience is to drive up to the Highlands and visit some distilleries. The best hotel bar to do tastings is unquestionably the Quaich bar at the Craigelachie Hotel in Craigelllachie in the Speyside area east of Inverness (just a mile or so away from Glenfiddich and Balvenie, a few miles away from Macallan, etc)--with 900+ single malts you can try by the dram, including many that are extremely rare. The hotel is solid but not luxury, but its restaurant is actually quite good. And it's right in the middle of 60+ distilleries you can visit with ease.

Gleneagles offers the more traditional luxury hotel with golf experience. They have a good whisky selection too. Michelin restaurant.

We had a great weekend of it in Islay, too, once. Cheap accommodations, so we stayed at the Bowmore Cottages, which were great. We visited every distillery on Islay and Arran, then headed up to Oban and the Speyside region to finish our tour.

The Boath House is a higher end boutique hotel with a Michelin restaurant about 30 min east of Inverness and just outside Speyside. You can access Speyside distilleries from there too.