It depends.
For mild cigars or when I'm trying something new and I want to discover the flavors, I usually drink water or iced tea.
For medium bodied smokes ... coffee, tea, soft drinks or some lighter beer (ale, wheat).
For heavier / stronger cigars, I might select a nice dark beer (lager, stout) or some liquor like rum, bourbon, scotch.
I don't pair wine up with cigars much - although I do occasionally like a nice port.
Mood and location also enter into the picture.