Very long ago, when time did not quite start as an entity, Shiva appeared to Vishnu and Brahma as a cylindrical column of blazing fire.  Brahma went above to find the top of that column of fire.  Vishnu went down to find the bottom of the column.  But neither the top nor the bottom could be found.  This is the basis of the Shiva linga's cylindrical form.  Since it is not possible to make it infinite, the finite form is used to represent it.  There are some other versions too which will be covered later but this is the primary reason for the cylindrical shape of the Shiva linga.