Depends on the cigar and my mood.
With an Opus I used to listen to 80's hair bands, because Opus's have that kind of intense, Tawny Kitaen-spreadeagled-on-the-hood-of-a-Jaguar-type feel to them.
For a Magnum 50 or another cigar with complex, slow-developing flavors I usually go with something that has a lot of changes because it'll sometimes keep pace with the cigar. Eine Kleine Nachtmusik is good for that.
But for a Ninfa or another delicate vitola, usually piano sonatas or some Billie Holliday.
And Sinatra with everything, as God intended.