I'm a cheap bastard. I'm not saying cheap is the only factor, but it limits what I'll be exposed to regularly. I had a nice Cohiba Black with a Yuengling once. I know that's not fancy, but I liked it a lot.
I settle in to staples, though, and I really enjoy Nestor Reserve Maduro with Miller Lite. I know, boring... whatever. I like it.
I'll also mention bourbon, since Patrick B said so... I have a habit of getting cigars and whiskey as gifts. They're often more expensive than I would buy for myself (which is awesome). I got a nice bottle of George T. Stagg, and enjoyed that with a Fuente Rothschild. Today, I had Jameson Distillery Reserve with an Indian Tabac Maduro Boxer.