The group of integers is indeed cyclic: $\mathbb{Z}=\langle 1\rangle$ because $n=1+1+\dots +1$ $n$ times if $n\ge 0$ and $n=(-1)+(-1)+\dots +(-1)$ $-n$ times if $n<0$.
Infinite non-cyclic groups do exists. An easy example is the abelian group $\mathbb{Z}_2\times\mathbb{Z_2}\times\dots$ because any element in it has order $2$.
Another example is $\mathbb{Q}$. You can show that for any $p,q\in\mathbb{N}$ you can find a rational number $r$ such that $r\notin\langle \frac{p}{q}\rangle$. You can find a proof here.
I give as a last example the infinite dihedral group. It is defined as $D_\infty=\langle r,s\mid s^2=e,\,rs=sr^{-1}\rangle$. Note that the order pf $r$ is infinite. This group can be seen to act on $\mathbb{Z}$ as follows: $r$ is translation by $1$, to the right for example (you can choose to the left, then $r^{-1}$ translates to the right), and $s$ is reflection in the origin: any integer switches its place with its opposite.