There are many more good cigar shops and members cigar clubs than that has been mentioned by quingleung.

Here are a few:

Red Chamber Cigar Divan (owned by Pacific Cigar Co. Ltd "PCC" - the official Hababnos Cigar Distributor for Asia Pacific)
Shop M1, Mezzaine Floor, Peddar Building, 12 Peddar street, Central, Hong Kong

Smoking Room: Yes
Lockers: Yes
VIP Room: No
Wireless Lan: Yes
TV, DVD, Printing&Fax: Free

Value for money(10):9
Smoking room(10):9
Location(10):10
Services(10):10
Total Scores: 38/40

Cohiba Divan (owned by PCC)
Mandarin Hotel, Shop G6, East Lobby, 5 Connaught Road, Central, Hong Kong

Smoking Room: Yes
Lockers: No
VIP Room: No
Wireless Lan: Yes
TV, DVD, Printing&Fax: No

Value for money(10):9
Smoking room(10):8
Location(10):10
Services(10):10
Total Scores: 37/40

La Casa del Habano Cigar Lounge (owned by PCC)
Sheraton Hong Kong Hotel & Towers, 20 Nathan Road, Kowloon, Hong Kong

Smoking Room: Yes
Lockers: Yes
VIP Room: No
Wireless Lan: Yes
TV, DVD, Printing&Fax: No

Value for money(10):9
Smoking room(10):9
Location(10):9
Services(10):10
Total Scores: 37/40

Members Only Clubs:

Cohiba Atmoshpere
Cigarro
As the cigars from these places are from the official distributor you won't get any fakes! They deal in mostly Cuban cigars.