Traditional: Between first and second fingers. This style is warm, open, and sociable.
Close: Between thumb and one or two fingers. This style is secretive and "tough" and is often used by male characters in old Hollywood movies.
Dangling: Cigarette perpetually in the mouth, with very little use of hands. This is often very practical, but can be messy (it's easy to inadvertently drop your ashes) and maddening to anyone trying to make conversation.
Holder: You figure out what to do with your fingers. This is a clean, exotic, sophisticated-looking alternative, though unfairly viewed as a "woman thing."
Consider Quitting: You are either clumsy or careless. You will probably seriously injure someone in your lifetime; don't do it by starting a fire.