I know this post is fairly old but I just saw it so I'll reply.
You've probably found some already but I love The Cigar Box cigar bars. They have 3 locations I believe but I usually go to the one on the Riverwalk in Jenks as I live nearby. The other locations are 15th & Peoria (Cherry Street) and out in Broken Arrow near Bass Pro Shops.
As far as a pure cigar shop, Fogue & Bates at 61st & Sheridan has been around forever and is supposed to have a great selection.