Extruding horizantally when I want it to go vertically, and vice versa I'm trying to extrude a cylinder in the right direction.
But to extrude I have to move the cursor verticaly.    

Same with the vertical direction.
If I wanted to extrude the cylinder in the vertical direction, say a few faces, I have to move the cursor in the horizantal direction.
This can happen, when you Extrude Along Normals.
To have the extrusion follow you cursor, use Extrude Region instead.