Cigarettes are always smoked outside at my house; not just because of the odour, but the mess - I've never known an indoor cig. smoker to not have a fine layer of ash covering everything (usually radiating outwards from the ashtray), no matter how much they clean up and are careful about it.
Cigars tend to be smoked outdoors as well, although thats more because I only smoke a big-stick on the rare occasion, often at parties (when I force everyone to smoke outdoors - 30 smokers in a three bedroom house isn't cool...). I do limit my indoor cigar consumption to my garage area, to keep the lingering aroma's contained.
With my pipe, I tend to gravitate to the outdoors in the warmer months, however once the frost starts to make an appearance, I'll move back indoors...with the exception of a couple of particularly pungent Latakia blends (IE Ten Russians). Like cigars, I tend to do most of my indoor pipe smoking in the garage area; come winter it gets converted from an indoor junk-pile to a man-cave.