This is called faceting, and it's the nature of an STL file, actually. The surfaces of the models that we print are made up of a mesh of triangles. A perfect circle or curve or sphere will actually be made up of these tiny flat surfaces.
What CAD program are you using? There's probably a way to have it increase the quality of the STL export. Some programs even let you specify how many segments would make up a cirlce. Sketchup starts somewhere around 16, and you can increase the number to get a higher resolution.