Partagas, Avo #2, R&J are great. A great cheap smoke is La Vieja Havana from Drew Estates. They use mix filler tobacco (instead of just long filler like more expensive cigars), but you could never tell the difference. There run about $25 for a box of 20. Keep them in the humidor for a few months to mellow out and they smoke better than $5 smokes. I also stock up on Punch London Club Maduros (5x40). Great flavorful smoke that's quick to smoke, and dirt cheap too. Box of 25 runs about $30. And I personally think that cuban cigars are overrated. The first cigars I smoked were Cubans (mostly Cohiba and Punch). I found them ok, but nothing special.
I have 2 humidors and a coolerador. My main humidor holds about 50 cigars, but I only keep about 20 cigars in it (that I'm getting ready to smoke). I have a small 20 cigar humidor for the flavored smokes. The cooler has about 120 cigars in it right now.
I buy exclusively online (from either Famous-smoke.com or cigarsinternational.com). The cooler is great to have, since I can buy a few boxes at a time to save on shipping. If you live in California, buying locally is crazy (tobacco tax is 35% or something).
There are some great shops around here, like The Cigar Warehouse in Sherman Oaks, but the tobacco tax is killer. I haven't bought a cigar in a local shop for at least a year and a half or so.
Usually smoke on my patio with my laptop. Right now, I'm trying to catch up on 24. Just started season 4. Each episode is about 40 minutes without commercials, so it's the perfect time to smoke.