Churchill at the Brown Palace - Very nice lounge. Exceptional selection of spirits (try the Stranahan's Colorado Whiskey). Do NOT buy cigars here unless your budget is very high. Bring them with you and buy some drinks.
Another downtown option is
Cigars on Sixth. I don't know much about this shop.
If you want to head a bit south and stay away from the downtown parking nightmare, head south on I-25 to Arapahoe Road where you will find
Stanley Pappas Cigars. Stan's is a Diamond Crown Lounge, but does not have any spirits. They are open to you bringing in a bottle, as long as you keep it low keyed. The staff is knowledgeable and will assist you with a selection from their large humidor if necessary. They have signs that say the lounge is for patrons who purchase cigars on-site, so if you go here pick up a stick from them to enjoy. I frequent this lounge and have a locker there.
Keep in mind that Colorado's state tobacco tax is 40% of the wholesale cost of the stick. This makes our B&Ms substantially more expensive than the big online retailers.