When we were there last year there was 1 cigar shop right the main port area, but I didn't go in so I couldn't tell you what they had. Honestly though I doubt they have anything you couldn't get here or have that much better prices.

As far as rum, never had it myself but have heard great things about Flor de Cana.

If you like tequila there was a place that had a bunch of different flavors, we got a coffee one that was really good.