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If you have a risky streak going, you can hop on a plane from Cancun to Havana and back, forbidden fruit for US tourists. (Unless you have a 'license' from the State Department issued well in advance, mere mortals are not legally allowed to visit Cuba, under the Trading with the Enemy Act.) Those who do legally travel to Cuba are limited to only US $100 total of Cuban-made goods.

And yes, you can get Cuban cigars and rum in Cancun but I highly recommend you consume them there. US Customs keeps a sharp eye out for Cancun flights since many sneak on over to Cuba on the side. At the very least, you could watch the Customs agent pour the rum down the drain and crumble up your cigars, at worst, you can get thrown in prison and fined heavily, plus have your name tagged in the TECS (Treasury Enforcement Computer System) -- every time you take a trip overseas, you'll be welcomed back to America by the Roto-Rooter man. You will be searched, questioned, interrogated, the works, just like your everyday garden variety terrorist or drug smuggler suspect.