The Carnegie Club is an upscale cigar and cocktail bar in NYC that I recently visited since they were gracious enough to air the Mad Men series finale.
And honestly, this was absolutely the most fitting place in New York City to watch that show end. I had to dry clean the dress I wore that night due to the cigar stink that I brought home with me, but it was totally worth it.
They have their own cigar menu (which doesn't really affect me) and they allow you to smoke these cigars indoors. I may be wrong, but this has to be one of the last few places in this city where that's allowed.
If you know anyone who's into cigars, this is definitely the main place to take him/her to in Manhattan.