I have travelled pretty extensively in Europe and can tell you that Spain is without a doubt the cheapest country to but Cubans. The duty free shops at the airports are pretty poor (I always worry about storage at airports) but find yourself an Estancos in any town or city and you will not be disapointed. Prices are set by the government and are cheaper than the Duty Free shops.
That said, I was speaking to someone from Gibralter the other day and they told me that Cuban cigars in Spain can sometimes be of questionable quality. Personally I have not found this.
There are, however, some very good cigars to be found in Gibralter, if you ever happen to be passing. Believe me, if you were ever in Southern Spain it would be worth visiting Gibralter just to buy cigars. Without a doubt, the cheapest place in the world outside of Cuba.