What? Rye is a grain used in Whiskey production. When you use rye in whiskey production, it tends to make for a spicy, fruity whiskey which is useful in cocktails (as well as for drinking neat). In the United States, a Rye Whiskey has to be at least 51% rye (amongst many other rules). Canada is also famous for its Rye Whiskies, although the rules aren't as strict in terms of how much rye is in a bottle to be called a Canadian Rye Whiskey. If you want to go for something different, Millstone in the Netherlands produce an excellent Rye Whiskey.
Where? Rye has become very popular with bartenders in the past few years, so more and more countries are starting to produce rye whisky. Even taking in to account these new countries, most rye whiskey is still produced in Kentucky and Canada.
When? Rye whiskey rose to prominence in the late 1700's, early 1800's, when many distillers in Pennsylvania and Maryland were producing rye.
How? Bartenders quite like rye, as its spicy nature makes particularly good whiskey cocktails. If you are not drinking it neat, we would recommend it in a Manhattan.
Where To Start? Start with a bottle of the Kentucky produced rye, like Rittenhouse, as it is an excellent example of the category, but it doesn't cost the earth. Once you have decided that you like it (which you will), then start to look at some of the more weird and wonderful ryes from around the US and around the World.