I like to pair big red wines with cigars, and my favorite value reds come from southern Italy. For me, the best Italian wine and cigar pairing is a Toscano Originale with a glass (or bottle) of primitivo (the same grape as Zinfandel). The Originale style of Toscano brand cigar is by far the smoothest, richest, and most flavorful version of Toscano's cigars. Don't waste your time with Classico or any of the others, just stick to Originale (a pack of 2 costs 5 euro). Italy's primitivo wines come from Puglia and they are truly sun-soaked wines, giving them a silky mouthfeel and rich flavors of leather, dark fruit, and smoke. They are perfect for cigar pairing.
If you're in Italy, grab a bottle of Attanasio Winery's primitivo or, if you can find it, Consorzio Produttori Vini's primitivo. If you're in the U.S., try out one of the cheap primitivos from Trader Joe's or else A-Mano Winery's primitivo or Matane primitivo (which goes for around $11 and got 90 points from Wine Spectator). For a list of top 10 primitivo wines, click here.
The style of cigar found in Tuscany is the same as cheroot, which is what Mark Twain smoked, and called Sigaro toscano in Italian. It is thick in the middle and tapered at both ends. In Italy, it's customary to cut the cigar in the middle, thereby creating two shorter cigars. Other good Italian wines for pairing with cigars include Barolo, Brunello di Montalcino, Nero D'Avola, and Taurasi DOCG.