Thankfully the whole cigar-bar thing isn't much of an issue, yet.
I am interested in checking out the Davidoff cruise ship, although I suspect it will be filled with, well, the type of people one sees on that kind of outing.
As for a place to smoke a cigar in the city, here is my personal, all too short list.
Rive Gauche: While this goes for just about any of the (sleazy) hotel bars in the city, you can certainly enjoy a cigar at the Baur au Lac house bar. The atmosphere is pretty typical and depending when you go (i.e. Saturday night) there may be a few too many, er, Ladies in attendance. Normally though it is a pretty typical 5 star hotel bar with a few decent tables, a nice bar menu and good cocktails.
Widder Bar: often good jazz, the best selection of Scotch available south of Edinburgh (if not Inverness), and a nice atmosphere to kick back and relax.
Dolder: I didn't have a cigar with me on my one and only trip here, but I imagine it would be a great place to light up. This coming week even.
Weisses Roessli: this isn't a bar, but is (as mentioned elsewhere) one of my favorite restaurants in Zurich. The owner has a nice selection of cigars in his humidor and has no problem with guests lighting up after dinner. The food and wine list are both exceptional, the music is a great combination of the best and worst from the last 50 years, and the art is museum quality.