I have had the same problem, and not always with cylindrical "target faces".
My workflow would go like this:
edit an existing part, in place-edit or in a single part.
adding a sketch to an existing face
extrude the sketch, option "to"
choose the terminating face, the arrow points in the wrong direction and (sometimes) cannot be reversed.
I get an error message saying IV cannot extrude.
I don't have an example right now as it doesn't happens every time and also because I mostly have a different workflow.
Also, this hasn't happened in 2009, either because something is fixed, or because i haven't tried it.
/Ub