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Cigarro vs. cigarrillo

The Spanish terms cigarro and cigarrillo both essentially refer to the same item, a cigarette. However, regional usage and slightly different connotations distinguish the two words.

Cigarro

A2
This is a generic term used in majority of Spanish-speaking countries for a cigarette. It can also be used to refer to a cigar in some regions.
Voy a fumar un cigarro fuera.
(I'm going to smoke a cigarette outside.)
¿Tienes un cigarro que pueda tomar?
(Do you have a cigarette I could take?)

Cigarrillo

A2
This term is typically used to specify a machine-made, small, thin cylinder of finely cut tobacco for smoking, usually wrapped in paper. It's more specific and cannot be confused with cigar, unlike cigarro.
Ella está fumando un cigarrillo.
(She is smoking a cigarette.)
Los cigarrillos son malos para la salud.
(Cigarettes are bad for your health.)

Summary

Cigarro and cigarrillo both can be used to refer to a cigarette in Spanish. However, cigarro might also mean cigar in certain regions, while cigarrillo specifies a smaller, machine-made tobacco product and avoids this ambiguity.