Heh, I like this thread already.
All depends on how often you have a Cigar, and how good you want them to be.
I'll have one about once every few months, so I pay a little more and get the ~6-12 buck ones, however you can get them for 65cents... I would not recommend anything under $1.50-$3 in all honesty, though.
I would assume you could use your car lighter on them, that is if you get the smaller ones. I have never tried before, but should work.
Cigars are rolled Tobacco leaves, I've never heard of paper being used in them but I could not say either way.
Indeed, inhaling Cigar smoke is pretty bad for you, being it's unfiltered unlike Cigarettes. Then again, Cig.s have all kinds of random crap in them... So choose your poison. So, I just Puff mine.