The killer with spending $20 on a bottle of cognac, chances are you'll waste $20. The whole purpose of enjoying a cognac is the sip on something with complexity - a cognac that has significant age to it (e.g. VSOP or XO at a minimum). It's very rare to have an exceptional VS cognac.
In that price range - and I think a "nice" cognac - is Claude Chatelier VS Cognac. The only place you can find it is at Trader Joe's I believe. It's about $22 a bottle and I would pair it with a Arturo Fuente Anejo because of the nicely aged wrapper that also has a nice sweetness to it.
I really enjoy a more full body cigar with fine cognac - something like the Padron 1926 Maduro or a Cuban Montecristo. Those combos works very well.
If you're interested in that kind of cognac like "sweetness" (and I know it's not an exact match) - as a cheaper alternative I really enjoy pairing a full body cigar with Amaretto. Not to toot the horn of Trader Joe's, but I have found a gem there in a $8 Amaretto. It's a great alternative to the much more expensive DiSoronno (though noticeably thinner in consistency).
BTW - Trader Joe's also has a 10 yr old Single Malt Highland Scotch bottled under their own name in the $23 range that is just killer. I don't know which distillery is producing it, but it no doubt competes with the best.
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