Some cigar manufacturers use machines to roll the cigars out. However, these cigars are often low grade because they use chopped tobacco leaves as fillers wrapped in paper made from tobacco pulp. They may be cheaper, but the chopped leaves and the paper wrapper change the way these cigars burn.
This is why hand-made cigars are sought after. They have long fillers made from other varieties of tobacco leaves. These cigars exclusively use rolled leaves and often blend different varieties for a richer, more satisfying smoking experience.
Here is a tutorial from ExpertVillage.com on how to roll your own cigar.