I drink wine quite often with my cigars, although I do not find it to be the best beverage to pair. Some of the sweetness in Champagne makes sense... I've had the best luck from a pairing standpoint with Reislings... and a friend converted me to German over the PacNW.
If you want to go red, and have a stronger cigar, I've had good luck with aged Amarones.
Otherwise, I don't think the flavors mesh well together - at least when compared to rum. Scotch works as well, but typically speysides, lowlands, etc. Highlands or islays? Can be risky waters. Don't get me wrong... I thoroughly enjoy them all... just potentially not optimal in terms of pairing.
I recently did a sampling of rums that were "finished" in wine casks... similar to what many of the distilleries started doing a decade ago. One was finished in Latour, one in Y'Quem, and one in Lafite. They were unreal. I think the Latour was the only one that had a flavor I really liked, but they were incredibly unique - much more than I expected, and for that reason were very enjoyable.
Back to wine... interestingly, I agree with your point on a softer wine pairing with cigars. I have not had a lot of fun with French wine when paired with meals/steaks, or on a stand alone basis... but wines that have a bit more finesse, like French wines, do go well with cigars.
And, I would be remiss to mention cult Cali Cabs and the Super Tuscans when I want an all out flavor assault... big dark fruit, tobacco, smoke, dirt... you can taste it until lunch the next day. Fantastic!