some bars have cigarette machines, but the prices vary. One bar may charge 2.20 for a peck of Fortunas or Ducados, another may charge 3 Euros. A good excuse for bar-hopping?
International brands will be quite a bit more expensive.
Cuban cigars are good value in Spain (or they used to be, I don't the current situation).
There used to be street vendors that sold tobacco for even lower prices. I suspect though that the police and government have forced these off the streets.
Another bargain is counterfeit CDs and DVDs (often sold in local bars at night by Chinese or Moroccan immigrants). Bear in mind that there won't be English sub-titles on the DVDs. You have to make your own mind up on the legality/ethical situation. My point of view is - If the street vendors can copy a CD and make a profit on 3 or 4 Euros, why do the mass-production CD retailers need to sell at 15 Euros?