I've never been able to enjoy a cigar while watching a professional sport live. It's a real shame. Considering boxing. Watch any ESPN Classic fight with Ali, or another fighter from his era, and you will see countless people in the stands with cigars. That's the life, right there.
The Wachovia Center in Philadelphia allows cigar smoking, but only in the cigar bar. I only go during intermissions long enough to squeeze in a nice cigar fix. They sell cigars, which are a little pricy, so I'd suggest bringing your own.