The single biggest rule of cigars is taking your time. This goes for enjoying one, and lighting one.
Hold your cigar at a slight angle (such that the butt of the cigar is below the end) over the flame in your hand. Do not let the cigar touch the flame - this could damage the cigar. Slowly rotate the cigar to char the very end. The reason the butt should be below the end is to avoid charring any more than the end of the cigar. Slowly puff on the cigar while rotating it in your hand. Again, do not let the cigar actually touch the flame.
Use a butane lighter, as it is odorless. Most cigar shops sell Zippos. They do this because Zippos sell well and make them money. Whatever you do, do not use one to light a cigar.
