Scotch whisky is cheddar's best friend. The Rob Roy is a Manhattan made with Scotch, the whisky bolstered by Angostura bitters and sweet vermouth. The complex flavour and silky texture of this combination meshes beautifully with the creamy, buttery cheddar. The "bite" and mild acidity of the cheese are tempered by the vermouth and complemented by the bitters.
But it's really about the whole rather than the parts. The savoury flavours and elegant texture of this cocktail make fast friends with the same qualities in the cheese.