To go in a slightly different direction than the previous answers, it is perhaps instructive to think of the cylinder as a quotient of $\mathbb{R}^{2}$ and to realize the geometry of the cylinder as descending from the quotient map.
Specifically, taking standard Cartesian $xy$-coordinates on $\mathbb{R}^2$, define an equivalence relation on points $P(x_0, y_0)$ by $P(x_0, y_0) \sim Q(x_{1}, y_{1})$ if and only if
- $y_{0} = y_{1}$, and
- $x_{1} - x_{0}$ is an integer multiple of $2\pi R$, where $R$ is the desired radius of your cylinder (i.e., $x_{1} - x_{0} = n2\pi R$, for some $n \in \mathbb{Z}$).
Now thinking of the geometry of the cylinder as being the geometry induced by the quotient map, the local nature of the intrinsic geometries being the same (and the failure of the global intrinsic geometries to be the same) is hopefully clear.
This construction is helpful as it is the traditional way in which one realizes a flat metric on the torus, and when one replaces $\mathbb{R}^{2}$ with the hyperbolic plane $\mathbb{H}^2$, it generalizes to the standard construction of how one puts a metric of constant negative curvature on a compact surface of genus $g \ge 2$.
Even then, a cylinder is the not the same as a sheet of paper, because you can travel along a geodesic in the cylinder and return to the same point. So maybe it's best to think about a half cylinder.
If you consider curves that leave the paper and measure distances via lines that lie at least partially outside the paper, then that's called extrinsic geometry.
– Deane Oct 16 '17 at 16:52