If inside, or out of the wind, lighting her cigarette for her is the more gentlemanly thing to do. If you are outside in the elements with a high probability of the wind blowing out the light, then the more effective thing to do would be to give her the lighter or matches. Sometimes gentlemanly behavior must give over to common sense.
It's just a matter of personality. People that light cigarettes for others usually do it for both men and women.
To be dead honest with you it all depends if you are tryiing to hit on her. a man attempting to light a cig. for a woman is a sign of interest in her. So, you like her then light it. but, if its a friendly relationship just give her the lighter. This is solved.
If I were the lady I would want him to simply give it to me. Unless I'm giving him huge bedroom eyes, then he can be allowed to light it for me. Otherwise it's kind of getting into my personal space. And that's not gentlemanly.
Light it for her. It's a lot more flirtatious (well, to me anyways). ;)
