I agree with gster....I say you have used a boolean....also did you 'smooth' the geo proper in the Mesh>Smooth tab up the top? as the preview is just that...a preview and it does not smooth it techinally.

ctbram has done a tutorial in here somewhere on a couple of methods of making holes in geo...find them..excellent tutorage, the man is a legend.

I dont know what you are making...but if it is booleans you need...then you will have to go Mesh>Smooth and divide it maybe a couple of times (ie do it again)..this will leave the geo PERMANENTLY smooth mate...so make this decision wisely..it cant be reversed if you save the file (overwrite)....maybe save as project2.mb so you can go back to the older one if you dont lie it.

Once you smooth the geo then boolean..then you will NOT have to smooth the geo again and the holes will maintain their integrity...remember too if you are using cylinders give them at least 30 divisions..as you wont be able to smooth the geo so you want smooth looking holes. I will post a pic in an hour if you need to clarify mate.

cheers bullet