Slow, smooth Delta blues is my favorite type of music to listen to while smoking a cigar. I also sometimes listen to Rat Pack, or other big band/lounge music. Sometimes I listen to jazz, mostly Chet Baker. I also have a small collection of music from Italian film scores of the 60's and 70's, much of it by Ennio Morricone, used in giallo murder mysteries that I love to put on while relaxing with a smoke and a cocktail.
I mostly listen to black metal and hardcore punk otherwise though, just not usually while smoking.