that's takes some vertex manipulation for a poly cylinder...

after creating a cylinder with around 36 or so spans around and only one down, start in the top view and start lasso (box selection) selecting every other vertex - and make sure to select the top and the bottom... (it's hard to describe without pix, and i'm at work so no maya, no image hosting... and no internet at home <sigh>)

making sure your origin is centered, you want to rotate the selection so the vertices you selected are closer to the ones you didn't select (so it looks like pairs of vertices - but not TOO close together). then select every other face (the wider faces) and do an inverse extrude... instead of pushing faces out, pull them in.

that's the quick way i'd do it *shrug*