The disappearing cigarette is old Vaudeville.

You hold the bottom of the cigarette like you hold chalk.  Put the top against your lips and push your hand towards your mouth which pushes the cigarette into the palm of your hand - but it looks like it is disappearing into your mouth.

Then do the reverse on your ear - keeping your hand in the "holding chalk position", push the tip of the cigarette (still in the palm) slightly into the ear so it sticks and then slide your hand outward over the cigarette.

Oh and don't smoke the cigarette after performing this trick.