Brian covered the bevel tool, which is really much better in version R15+.
Here’s a couple ways you can minimize the creasing using SDS modeling:
9576_sdsextrudeincylinder.c4d.zip
I should have used two cylinders because the topology on the right kind of screwed up the topology on the left by creating an ngon over there, but I think you’ll get the idea. On the left hand side the idea is to widen out the loop in areas where you don’t want sharp edges or creases. The slide tool is useful for that.
On the right the idea is to create a loop around the extrusion while adding as little additional geometry as possible, and maintaining an all-quad mesh.