Bud is right ... it's basically a throw back from the old days, when cigars were kept in copper containers. they didn't know much about relative humidity and the effect it had on cigars back then ...
I've heard from many old timers that it is also just a part of the ritual of smoking a fine cigar. Many claim they like the taste, and it helps to moisten the cigar so the wrapper doesn't crack or start to unravel.
Others say that it helps to keep the cigar burning even, and will reduce the chances of it tunneling up the side ...
Then ... ther are those who DO think it does help to make the cigar taste better. Try it ... and you be the judge!