Well, I've never searched for a cigar bar but smoking indoors isn't so common. A lot of people smoke at restaurants but they sit outside. I've walked around with cigars and never had a problem.
Pretty much all tobacco stores sell cubans, but they are expensive and not well kept. Buyer beware.
The most common cigar in Italy is a Toscano. They actually cut them in half and usually share the other half. They are pretty rough cigars. They are cheap and worth a try, but I always try to enjoy the local cultures.