The Cigar Of The Day blog recently posted "A New, Old Way to Enjoy Your Cigar" that caught my eye... (truth be told, I saw it as a link on CigarLive.com in this thread)
He has some great information about historical use of the cigar holders as well as his take on using these handy little tools.
I myself like using my meerschaum cigar holder when I'm working on the computer or something where I've got to use both hands. This allows me to effectively hold my cigar in my mouth for prolonged periods of time (like when I'm typing) and not have to worry about ruining it by brushing it with my teeth or slobbering on it so much that you can't draw any more. I've also found this a great way to cool off a cigar that seems to be smoking too hot as the meerschaum and greater distance between cigar and mouth allow the smoke to cool more, much as a churchwarden as opposed to a shorter pipe.
Others in the lounge at the Barn prefer to use their holders to extend the smoke they get out of their premium and ultra-premium cigars. They can now smoke down to the cap almost without burning their lips or fingers and without looking like they are "toking" on something they shouldn't.
One of the downsides mentioned is that you need a full range of holders to cover all cigars, and we have sets that cover this need, but I've found that many cigar smokers usually lean towards smoking similar ring-gauges and they can select a holder that covers their favorite smokes.