Other than a good single malt, my favorite drink with a cigar is Dr. Pepper on ice. I was a member of a cigar club for several years, and the manager and resident cigar sommelier suggested it. Surprisingly good. The ice breaks down the carbonation a bit, and the spice and caramel of the soda goes surprisingly well with many cigars.

This is only tangentially related to your post, but it just popped into my head when you were mentioning cigars.