You queeze gently up and down the length of the body, checking for lumps or soft spots. A well-made cigar shouldn't have any. The cigar should have some give, but not be too soft. Rolling it between your fingers can damage the wrapper; just squeeze gently.
The wrapper should be smooth and tight and the ends should be undamaged. Check the size of the veins - smaller veins usually smoke smoother. Check the tobacco in the exposed end. Most cigars are made from a blend of tobaccos, so some color variation is normal, but extreme or abrupt color changes could indicate an inferior leaf, or that the leaves weren't laid together properly in the bunching process.
Follow the guidelines above and you're sure to end up with a winner. Now head off to your favorite cigar smoking spot, light up, and enjoy!