Actually took a trip to the city two weekends ago on a fact finding mission concerning this very thing.
Club Mac (finished the night here, great time, only disappointment was the fact that they were out of Zacapa)
Lexington Bar & Books (went there, but it does not open until 5:30pm and we were there at like 1pm, so we moved on and never made it back)
The Campbell Apt. at Grand Central (looked in the doors when we first got off the train at Grand Central, but didn't open until 3pm, so we moved on, but you may want to check with them again, as one of the guys at Nat Sherman's had said that he thought they were non cigar friendly as of shortly before we were there)
Circa Tabac
Upstairs at Nat Sherman's (can smoke in the humi upstairs or the little room in the back, which has a flat screen TV on the wall and complimentary coffee. I had my first cigar of the day there (a Davi 1000)
Merchants New York East Side
North West upstairs lounge (I think?) (think the guy at Nat's said they were not allowing here anymore either)
We also visited De La Concha Tobacconist and they have 3 little cafe style tables in the front window and serve espresso, very nice staff and they were happy to let us smoke our own cigars ( I had a Dunhill Atado). Davidoff store was ok too, bought a couple of specially blended davi's for the 5th ave. store only(dominican) and were served complimentary espresso, but the 2 chairs in the front of the store were a little drafty when the door kept opening and closing. Two others that come to mind are The Carnegie Club, which looks like a great place from the outside (it didn't open until early evening I think), but it has live music and looked very comfortable. We never did talk to anybody there, but if they still allow smoking it would be a great place to have a smoke and listen to some music. Lastly, Scores said they are still cigar friendly, so if you like a little "scenery" while having your smoke, you can head over there! LOL
Hope this helps. I plan another trip in and will report back with any new info.
Marc