Any flame will light a cigar, although some say to stay away from Zippo lighters because of fuel residue affecting taste. We like to use a butane lighter or wooden matches because we can taste the Zippo fuel at least for the first few puffs. In the wind, however, there is no substitute for a Zippo.
Before you light it, smell the cigar, note the character of the tobacco. Put the end of the cigar you have just cut in your mouth, taste the wrapper. Take a couple puffs through the unlit cigar to appreciate the taste and smell of the unlit tobacco. This practice also assures that it's drawing properly.
When lighting the cigar, try to get out of any wind or drafty areas. Hold the flame slightly off center on the face of the foot of the cigar. Many people hold the flame just below the tobacco, not allowing the flame itself to come into contact with the cigar. This seems to produce a less burned taste. While holding the flame as described above, rotate the cigar with your fingers while taking very short puffs on the cigar. Make 1-2 rotations and then look at the end of the cigar to see if it is evenly lit, it probably won't be. Rotate the cigar so that an unlit portion is on the side. While again lightly puffing the cigar, wave the flame under the unlit portion so that it will light. Repeat this process until the cigar is evenly smoldering across its entire face, including the edges of the wrapper.
A purists variation on the above method is to not puff at all through the cigar while the flame is waved under the face of the angled cigar. After the whole face of the cigar appears to be smoldering gently puff out once through the cigar. Now try puffing normally on the cigar. Make sure at this point that the cigar is fully lit. If it is not, hold the flame under the portion which is not burning. This "puffless" method can produce a wonderfully unburned initial taste but requires some practice, a steady hand and very still air. As a last resort regular puffing can be used if one section just won't light.
Whatever method you use, don't allow the cigar to catch on fire like a torch. If allowed to burn in this manner it can char the wrapper prematurely.