In the last 2 weeks I've been to Jungle Jims (Fairfield), Party Source (Northern Kentucky), and the House of Cigars (Sharonville). Jungle Jims had the best prices, but Party Source had specials and good deals. House of Cigars is huge and has 4x (at least) the selection, but costs $1-$2 more per stick.
I am very new in the scene. I've only been to 1 event at Jungle Jims (I live north of the 275 loop so it's the closest). I plan on going to this weeks event with my dad (even though its an overpriced feature cigar). I'd love to go to the Party Source events but with both interstates under construction, I'll just stick up this way.
Lastly, there is a 4th shop located in Fields Ertle (Exit 19 on 71) called Bell's. They are a smaller family owned shop. Everyone is always friendly and they have events too. However, I haven't been there in a while and last time i went I didn't know what I was doing, so I can't comment on prices or selection.