I guess I'm a bit spoiled the way things run here in AZ.  There are plenty of places, and a few very nice places that don't charge fees to sit and smoke in the lounge.  I mainly hit up Cigar King lately...its a bit of a drive for me, but well worth it.  Huge lounge with plenty of comfy seating, 6 large flat screen TVs in the main lounge (probably 10 TVs throughout the store), great selection, great people, BYOB...the list goes on.  All this for NO fees...can't beat it.
While I do bring sticks from home sometimes (if I plan on being there all afternoon), I always buy a stick (or 5, or whatever...) when I go in.  My view is, as long as you are supporting the place by buying something, there is nothing wrong with bringing something from home as well.