Cooler months: A good single malt Scotch (Highland Park 18 yo or Lagavulin 16 yo), or a bourbon (Maker's Mark) manhattan.

Warmer months: A negroni (equal parts gin, campari and sweet vermouth) or a hearty beer.

I've had cigars with white wine and gin martinis, and they don't seem to work well together.

Port and cognac also seem like they would work.