A good cognac is a great pairing with a cigar but no more so than a quality single malt scotch or Irish whiskey. Here's a few quality inexpensive spirits that I like to drink while smoking:
While the Imperial XO is my favorite cognac the less expensive of the brand, Courvoisier VSOP is a great choice at around $50 for 750 mil.
For around $40 you can grab Macallan Single Malt Scotch 12 Year old. Finishing this scotch off in sherry oak casks gives this scotch a nice fruity profile much like a good brandy. The grain is roasted over a dry heat rather than moist peat alleviating that burnt turn out gear taste that so many people look for in a single malt (not me!).
$35 will get you IMO the best Irish whiskey on the market. Tullamore Dew 12 Year Old Irish Whiskey is a smooth, easy on the throat, tasty whiskey that goes great with your favorite Maduro.
Just for the hell of it I'm throwing in an old favorite, Chateau Du Tariquet Classique
Bas Armagnac that sells for around $30. It's a young batch at 3 years aging but quite nice. The VS and the VSOP are even better but the increased prices will reflect that.