The cigarettes are mostly a flavor item. Using them hurts the player for 10 hit points (deducted from torso health). Using cigarettes also creates a small smoke cloud in front of the player, which creative players can use to their advantage in certain situations (e.g. having an enemy walk into it).
Gallery
Advertisements for the Big Top brand of cigarettes
Another advertisement for the Big Top brand of cigarettes
Advertisement for the Holy Smokes brand of cigarettes
Advertisement for the Super 45 cigarette brand
Advertisement for the Super 45 brand of cigarettes