The cigars you buy at the drug store (White Owls, Swisher Sweets, etc.) are known as machine-made cigars. Thay are generally shredded tobacco rolled up in pulped tobacco that is similar to paper. Machine-made cigars generally contain burning agents like saltpeter, and preservatives like propolyene glycol or glycerin to preserve freshness. The burning agent is why if you leave a mechine made cigar in an ash tray it will burn itself down like a slow burning fuse. Machine-made cigars have a little hole already provided through which you can smoke them.
A premium hand-rolled cigar is made completely of tobacco, no additives or preservatives. It is generally complete long leaves rolled into a cylinder and covered with a single leaf of real tobacco. These do not have an opening, so they need to be cut with a cutter.