I enjoy a cigar every now and then, more so in the warm weather when I can sit on the deck or in the yard and relax with a cigar and a drink.
My favorites are EP Carillo New Wave and AVO Classic #2. Both are mild and smooth.
As for cigar etiquette, I follow a few basic rules: 1) never smoke in the house (my wife doesn't mind me enjoying a cigar, but she doesn't want the lingering smell in the house), 2) always have a beverage with the cigar (even if it's water or coffee), 3) when finished smoking, let the cigar burn itself out, then clean up the ashtray and dead cigar immediately, 4) take time to smoke the cigar - it's a pleasure to be enjoyed, so don't start if you don't have the time to relax and savor it.