"Budget" lances worth the price and more:
Fonseca Cubano Limitado
Oliva V
Cain F
Other great ones that won't break the bank:
Warped El Oso Mama
Pepin blue
7-20-4
La Aurora 107
MF #4
Viaje Exclusivo
Tat Black PL
Room 101 (all of them)
HG Drumstick
Holy Lance
Top of the line:
Lost City
Opus X PL
Don Carlos
(basically, if you find a high-end Fuente lance, smoke it)
HE Lancero
La Palina Goldie Laguito
Much of what's in the Tat sampler is excellent, particularly the La Riqueza, Black, and Brown.
I have heard magical things about aged CCs like the Cohiba lancero, Trinidad Fundadores, and the 2009 (?) regional Boli, but sadly have not had one in my mouth yet. Though I will be finishing off the month with a La Gloria Cubana Medaille d'Or No. 1 from 2000 that I have heard nothing but superlatives about.