Hi Defonten, when you subdivide in Zbrush I think there's an option for whether to apply sub-division smoothing or not. You'll need to have that unchecked when you do the subdivide since it's a regular polygon cage and not a sub-d smoothed polygon cage. I think it's a checkbox labeled SMT (for "smooth").
Also it's just a normal part of the ZBrush display that it shows things flat shaded so you can more easily see the polygon structure while sculpting. If it's that flat shaded look that is bothering you, I think there is a setting under display properties to do smooth drawing instead of faceted drawing for the display: http://docs.pixologic.com/reference-guide/tool/polymesh/display-properties/
Thanks a lot Michael, yep, setting "Devide larger than" value to 0.1 did the trick! The problem was that polygon density was too uneven on creases and "flat" areas. Now it's working fine. Thanks a lot!
