Hygrometers are devices that have just one purpose: to report to you how your humidor (and therefore your cigars) are doing. A good hygrometer is essential for keeping your cigars properly humidified.
Most humidors come with a built-in traditional, non-digital hygrometer. While these are great for estimating the humidity, most cigar aficionados don't hold them in very high regard, even after you've calibrated them (see the instructions that came with your humidor for how to do this or use the salt method below). They are good for estimating the humidity but not very precise. Instead, most cigar smokers who are serious about the hobby invest in a proper digital hygrometer.
Whether or not you get a different hygrometer doesn't change the fact that you will need to make sure that it's properly calibrated. Most hygrometers come with instructions on how to do this; feel free to follow those, or use the well-known "salt method" described below.
The salt test consists of a few steps that will have your humidor hygrometer working properly in just a few hours.
Make sure you repeat this process once a year, as even digital hygrometers may lose some accuracy over time.
As I stated earlier, I definitely recommend investing in a good digital hygrometer instead of relying on a traditional one. There are many options to choose from; for an example, check the sheer number of available hygrometers at Amazon. I decided to purchase the Caliber IV, which gets rave reviews online, and it hasn't disappointed. I put it at the top of my glass top humidor and can easily read the temperature and humidity from any angle through the glass. I know other people who are equally happy with a Xikar hygrometer such as this one, however, and you may find one you like yourself. As long as it's digital and you can calibrate it, don't worry about it too much.