Ordering phenomena in block copolymers have attracted much theoretical and experimental attention. Most work focuses on lamellar mesophases. We have used atomic force microscopy to study cylindrical mesophase formation in thin films of a commercial styrene-butadiene-styrene (SBS) block copolymer. Complex ordering phenomena occur during annealing. We have found that the orientation of polystyrene cylinders depends on the film thickness. For films that are thinner than two repeat distances the orientation is consistently found to be perpendicular to the surface. Parallel orientations can only exist at specific values of the thickness. If the average thickness of the film is not compatible with the repeat distance, the film develops microscopic variations in thickness such that the thicker regions are an integer of the repeat distance. In the thinner regions, the cylinders orient perpendicular to the surface.