Sherry's a well kept secret in the US. One reason I like it is cause it's great for during the week, you can sip a small glass and cork the bottle back up and put in the refrigerator. An open bottle will keep for a month.
Be forewarned it'll taste a LOT different than any wine you've ever had, it's definitely an unusual acquired taste but grows on you quickly. For your first time definitely go with a dry one as suggested above, a fino or manzanilla. Binny's always has a good selection on hand, anything from Spain will be good and will go about $10-15 a bottle. Serve it very cold and don't pour it in a regular wine glass, it'll overwhelm you that way. Try it in a liqueur glass. And don't drink it without food, it just doesn't taste right to me unaccompanied by food. As mentioned above, it's great with manchego. Anything salty works really well with a dry sherry, especially jamon serrano, olives or almonds (Spanish marcona almonds are awesome if you want to splurge). Enjoy, as you can see from everyone's enthusiastic comments once you get hooked you'll love this stuff.