Hi Steve,

By the look of your image, model would of been better, I'm assuming that when you extruded or made the cylinders that they were capped, meaning that they are solids, 'Blend' is a tool for surfaces so if you pick an edge of a solid cylinder there are two surfaces that share one edge, 'Blend' doesn't know which surface you want to come off and 9 out of 10 it'll pick the surface edge you don't want resulting in the image you have.

so if they are solid cylinders delete the end cap and try 'Blend' again.

Cheers
~Danny~