It is really hard to describe my problem accurately, but I try the best I can. I am using Blender to create meshes for Unreal Engine. However, this problem shows already in Blender. I don´t know the terminology, So I go right ahead and describe shortly what is wrong about the picture attached. You can see a diagonal shadow cast after I turned on the smooth shading. That does not look very good (I am sorry, that I cannot describe it any better). You would really help me out if you could explain my mistake to me!
This is because you have Smooth shading enabled in your 3D Viewport > Toolshelf > Tools tab > Edit dropdown > Shading:. There is a way to fix this without going back to Flat shading.
Go to the Properties panel > Object Modifiers tab and add an Edge Split modifier. The default settings should be ok, but if they aren't, you can change the Split Angle:, which is defined as the max value at which an angle should be split.
The Edge Split modifier:
Comparison with a cylinder: