Most of these have been mentioned, but my personal favorites are:
TinderBox at Easton - Huge selection, knowledgeable and friendly staff, comfortable lounge. They'll have most anything you want. Plus, you can take your cigar next door to Fado's and smoke on the patio while enjoying a pint.
Smoker's Haven in North Campus - Decent selection with an emphasis on the classics and almost the entire CAO line, friendly and knowledgeable staff, and -- while not particularly aesthetically pleasing -- a large lounge. These guys mostly focus on pipe tobacco and even boast a huge selection of handcrafted pipes, but their offerings in the way of cigars is nice too.
Burning Leaf in German Village - Limited, but good selection. Carries many of the classics and, unexpectedly, a large variety of Trinidads. I guess they're the owners favorite. You can smoke in there, however, it's tiny with only two chairs and a table. The owner is pretty amusing.
Pipes and Pleasures in Whitehall - Large selection, particularly in regards to Davidoff. They're one of the very few shops in the cigar I know of where I can pick up a Davidoff Double R (one of my very favorite cigars). It's sort of far removed from anywhere I go, so I don't make it out to this place too often. Definitely a nice oasis in the otherwise barren and sketchy suburb.
Europia in the Short North - Extremely limited selection, some Cohibas, Padron 300s, Dunhill, and then flavored boutique cigars like Acids and Maker's Mark flavored cigars. They keep the flavored cigars in the same humidor as the others and, to me, that's almost unforgivable. The strong scents they give off permeate into the other cigars and adversely affect the taste. Bad, bad, bad. With that said, I appreciate that they at least sell cigars and I'll pick up a Padron every so often while buying liquor (only liquor store I know of that accepts debit card). Very friendly staff, although not too knowledgeable about cigars.