If you are a wine connoiseur, I think a cigar is going to dull the nose for a very subtle wine, so drink something bold, like a big, heavy red, without much tannin. I like fairly bold and spicy cigars, and for me, the best wine with a cigar has got to be port. YMMV.
Since this info does not seem to be available anywhere, why not do a tasting and post your reviews.