Right, I have two circles and I want to connect them so that they make a cylinder. Is there a way to connect them at once without having to create all the faces one by one?
Make sure they are the same object so use Ctrl+J to join if not
Depending on the blender version you are using, either W / Bridge or use the Loop Tools addon (use a recent version of blender from http://builder.blender.org/download/