I have a detached garage as well. It has a large attic fan on one wall, which blows the smoke out and keeps it quite cool inside, especially if I leave the door open. I mostly work on my woodworking projects out there, but always have a radio with me, listening to old country music. I have my dartboard setup out there, and it's soon to have a mini-fridge. I'd never put any cloth furniture out there, though. It's not, shall we say, completely protected against the elements. I do have a couple of wood chairs and benches, though.

My brother in law has something similar in his garage (although he doesn't smoke cigars). He just had the cable guys run another line to his man-cave. He NEVER uses it, though.