It's the nicotine and the alcohol in your bloodstream that makes that pleasant.
Since I started my diet I cut out sugared soda, so now it's coffee, iced tea, or sparkling water. Coffee is my favorite, but can't drink it at night, so its usually sparkling lemon water with ice. Actually pairs well with most of my favorite cigars (CCs, Eq Habano, Corojo, etc).
I found that single malt usually negated my ability to taste the cigar. I like cigars and scotch individually, but unless it was a really smooth kind of scotch, it was either overpowering the cigar or neutralizing it. Some of the sweeter, smoother stuff paired well, but my favorites (Talisker, Oban, Lagavulin) didn't mesh well. However, a good old fashioned... that pairs perfectly!