Cigars) You can get them at the best price from a direct import shop in the Hamilton hotel shopping center (as a former poster mentioned, it's in Itaewon, exit 1 out of the subway), 2nd floor. It's right next to the second floor escalator. They also carry pipes and pipe smoke and have a very abundant selection of cigars of all kinds.
Good liqueur) I've heard of an specialty import shop in Namdaemun, but where exactly is beyond me. Mind you, I'm referring to the more rare kind of scotch (Lagavulin, Laphroaig, and a number of other high quality and hard to find imports). What you're referring to (Bailey's and the rest) shouldn't be too difficult to dig up.