My first experience with Sake

I went to a Thai restaurant, first time I have ever been to one here in St. Louis, I have frequented a bunch of different ones when I travel up to Chicago, and it was all good food. About 10 of us went to a nice little joint called The King and I, we ordered a ton of different dishes and sampled them all. Nothing to exciting, my favorite was actually the plain old shrimp fried rice, and the fish cakes. It was about 10 degrees, so I figured Id order some sake, as I have never had it before, I must say it was very good. It was served very hot, like tea, had a sort of white wine initial taste, and very little taste while its in your mouth, and the after taste has a slight whiskey twinge to it. BUT, I have some questions. They served it in a jar, with a small cup, do you sip the cup, or do you shoot it? Is Sake always served warm? What is a good sake that I can look for that will be in most supermarkets/international food marts. What is a good sake that I can only find in an Asian market? Needless to say, the stuff went down very easy, and I ended up drinking a couple of these jars.