You can find your favorite Cuban Cigar including Cohiba and Romeo & Juliet’s in many of the resort gift or sundries shops. In the Coral towers of the Atlantis you can find Havana Humidor, a nice smoke shop that has a great selection of Cuban Cigars. You will also find a good selection of Cuban Cigars by visiting the shops at the Paradise Shopping village. They are located right across the street from the Comfort Suites and the Atlantis Marina village. As with most other things, the prices off the resort are usually better than on the resort, but Havana Humidor is definitely the best spot for cigars on the island. Remember you can enjoy the Cuban Cigars while in the Bahamas, but they are illegal to bring back home in some countries including the US.
If you are interested in trying a local cigar, you can visit the hotel Gray Cliff where you find cigars being hand rolled on location. Some local shops also carry Gray Cliff cigars.