Tunneling, a circumstance in which a cigar's wrapper leaf doesn't burn, causing a cave-like formation in the foot of the cigar, can be caused by several factors: The purpose of the binder leaf is to help all of the tobaccos burn at approximately the same rate. Therefore, if the wrapper is too moist, too thick, or too oily, it may not burn at the same rate as the filler and binder. (Maduro and Oscuro wrappers tend to be much oilier than most shade grown and other "natural" wrapper leaves.)
Another cause of tunneling is when the wrapper is not neatly rolled around the bunch causing a gap between the wrapper and binder. It may not be noticeable to the naked eye, but all the wrapper needs is a minuscule bit of gap between it and the binder to cause tunneling. There is also a condition called "double bunching." If a cigar is properly rolled all the leaves will "fall into line" when its lit and you'll get a nice clean ash. It's a rare occurrence, but what happens is, during the bunching process the binder gets doubled back causing it to be too thick. Because there is now "more" combustible tobacco in the mix, the cigar will tunnel.
Finally, make sure you get a good even burn at the foot when lighting your cigars. The leaf at the center, normally the Ligero, burns slowest, so if the surrounding tobaccos burn properly you should get a well-formed cone or "cherry" when you tap off the ash.