I'm sure some veteran will chime in here to correct/confirm this, but I believe that the different shapes are for a number of reasons
1) Different shapes can dramatically impact the way a stick smokes- i.e. a perfecto ensures a good even light since there is a smaller area at the foot, it warms up in strength while opening up in gauge to keep the smoke cool, and finally closes back again to "change" the smoking experience once more in the second half. All of this change in ring gauge can add "complexity" to the taste as well as change the nicotine kick that the smoker experiences by causing a hotter or cooler burn (granted he/she puffs at a consistent rate). Furthermore, something like a pyramid can pack a punch with a nice draw. It's almost like an air compressor- having one large end in which the air enters and a smaller end for it to exit via a vacuum- almost. As for the stubbies like nubs and other short sticks I suppose its part marketing, part manipulation of the smoking characteristics (nub claims that it will boost you through the warming phase and get you right into the "sweet spot" of the cigar as soon as you light up), and part time limits to save those lunch break smokers from losing half of their cigar.
2) For the artistry. For the more difficult-to-roll vitolas, only the most seasoned torcedors are chosen. That generally means that there are less than ten, and sometimes less than five (depending on the cigar and factory) people who are able to roll it. Pretty special, high-end stuff (Ahh, every time I draw that conclusion I remember why I love cigars so much- still handmade, hell yeah!).
In short- the shapes are partly for (supposed) better smoking, better looks, and better advertising.
