It's such a minor detail, but it really epitomises why Vanquish is both ridiculous and excellent in equal measure, on top of all of the outrageous knee boosting, gravel voiced, slow motion, Russian roboting Japanomania there's a fucking smoke button. For those who didn't know, while in cover, hit the left bumper to have Sam flip up his visor and grab a quick fag. There's only 3 per level so use them wisely, I personally couldn't help but casually whip out a cigarette during heavy gunfights just for dramatic effect.

I have to get this game now.

Only three? Snake has infinite cigs in the MGS games! 

i'd like to vanquish myself some fags

Its a distract mechanic: The idea being that you toss it and enemies are distracted and fire at it for a few seconds because apparently their all using heat sensors to see.
 
You don't need it at all on Normal but on Hard and God Hard I found the cigs can be a life-saver.   If you're suit over-heats and you need to run because enemies are advancing on your cover you can throw a cig and get a vital couple of seconds where they aren't firing at you. Since you move slower when you're suit overheats you die a lot when you can't quickly boost to new cover (because you can't boost when your suit overheats) and on the higher difficulty settings the baddies are so accurate you sometimes need that couple of seconds the cig gives you.
 
Its an awesomely cool way to do a distract trick I think! And most likely an affectionate nod to Metal Gear.

I used it once or twice and got the achievment related to it.  It's a silly / fun idea.

mainly just used it for achievements, though as mentioned it is helpful on hard