The only serious collectors market for cigars is in pre-revolutionary Havanas. There, they demand premium prices, about 5 or 6 times higher than the current retail price. The best place to find them is in London, because of the old tradition of laying down large cigar reserves at the main cigar shops. These cigars usually come onto the market when someone realizes that he will never get through the reserve, or when he dies (sometimes there is no obvious beneficiary). They are particularly attractive to American smokers, who have been able to buy and import them with a clear conscience since the trade embargo was imposed on Cuba in 1962. Unopened boxes are the most sought-after, as are sizes and brands which have now disappeared.
You can tell a pre revolutionary box because, the underside will read: Made in Havana, Cuba as opposed to the use of Spanish after the revolution.
Whether such old cigars are actually worth buying is a different question. As with old wine vintages, it is a matter of luck. If they have been properly stored and date no earlier than the 1950s, they might well still provide very satisfactory and interesting smokes. But, however well stored, they could just as easily be mere shadows of their former selves, musty with little bouquet. Dark cigars (colorado, colorado maduro, or maduro) are the best bets. However, even in the best storage conditions, cigars really shouldn't be kept for more than 10 to 15 years: the longer you leave cigars unsmoked, the more of their bouquet and aroma they will lose.