OK, Sarge took my entry so I'll go with....A Few Good Men. The general (Jack Nicholson) smokes some big stogies, and they are in Cuba.

No wait! Here's a better one: Crimson Tide. The captain (Gene Hackman) has his first mate (Denzel Washington) share a smoke right before the sub descends (as sunset...beautiful!) into the sea. It's a great scene, with the following (approximate) dialouge:

GH: You don't smoke cigars, do you, son?
DW: No, sir.
GH: Well, don't start. They're more expensive than drugs.

Pretty cool, eh?