Or, you can use the Archtool. It's actually much better then the cylinder tool but the cylindertool is the quick answer to your problems.
The thrid way would be displacementmapping with subdivide. Although I haven't actually learnt it myself yet (So don't ask) you can read about it in this tutorial; http://www. hl2world .com/wiki/index.php/Rounded_Objects
NOTE: The third way is the best way if you want truly round objects. The first is the most rough, the second is somewhere inbetween.