After lighting the cigar, allow it to cool down for about a minute. A cigar that's too hot tastes bitter.

After the cool-down, take a puff no more than once or twice a minute. Any faster and you're cigar will overheat, causing bitterness and an acidic mouth burn. Unpleasant stuff, so slow down. It's not a cigarette.

Do not inhale any smoke and never swallow the residue of any tobacco product; it will eventually make you ill.

Don't smoke too slowly either. The cigar may go out on you and then you've got a minor crisis on your hands since relighting a cigar is a process all to itself and rarely will your cigar taste as good the second time around.

If your cigar starts to burn unevenly, turn the slowest burning part towards the bottom when you hold it. There is more oxygen at the bottom of a cigar as all the exhaust is at the top.
If this doesn't work, hold the slowest burning part over a flame (without touching the flame) to get the wrapper burning again. This should even things out.

Don't hold your cigar like a cigarette. Hold it instead between your second and third fingers, resting on your third finger.
Let your ash get long before you flick it. Basically it should fall on its own. Long ash helps cool the cigar as it creates a sort of air block which cools the smoke.

Band on or band off? In the U.S. either is acceptable, though in the rest of the world, etiquette dictates that the band should be removed before smoking.

When you start, the angle you hold the cigar at should be roughly 30°, not all that steep. Too steep an angle will cause the flame to shoot right up the entire length of the cigar. That's bad!

A nice butane lighter is a good investment because you usually can't light a cigar properly with just one match, even the 3" ones. Get a butane lighter where you don't have to hold the button down.

If you must puff on the cigar after all this to get it going, use quick, short, easy puffs. And never light anyone else's cigar!