Do You Inhale?

LOL! This is going to sound really weird but...when you smoke cigars are you supposed to inhale? I've always heard that you don't and it's totally puzzled me. Why would you smoke something and not inhale it? Is that even possible? I guess it's kind of like the whole Clinton question there huh? LOL When I've seen people smoke them it seems like they did inhale but I don't know...It's such a weird thing to me that I just can't wrap my brain around it.