If you turn an electric fan on, on a table, and throw a ping pong ball past it, you see the air push the ping pong ball to a different direction than you threw.
You throw it one direction, it gets pushed another direction, and it ends up going to a combination of the two directions. Physicists call this vector addition because both the speeds AND directions seem to get added together.
Imagine helicopter blades spinning so fast that they become a blur. It looks like a disc and is referred to by helicopter pilots as the rotor disc.
Hopefully this picture helps you see that just like the air pushes the ping pong ball to a different direction, the force on the rotor disc pushes the motion of the rotating disc to a different direction

The Vs stand for "Velocity", which is a name for speed when you include a direction. F is for the "Force" of our push.
(1.) Is a top down view of a counterclockwise rotor disc, like the Robinson R44. (1.) is to help orient us to this 2-dimentional picture of our 3-dimentional world.
(2.) Is a side angle view of the same rotor disc, with a force pushing up on the side closest to us. This force causes the disc to change to (3.)
(3.) Shows that although the disc didn't turn the direction most of us expected, the part of disc we pushed changed direction exactly like the ping pong ball would have. It was going one direction, it got pushed another direction, and it ends up going to a combination of the two. Notice V2 and V4 did not change direction. V2 is still going away from us and V4 is still coming toward us. V1 was going right, it was pushed up, and it ends up going up and to the right. Because the center of the rotor disc is attached to a drive shaft, pushing up on our side causes the other side to be pushed down, and the direction of V3 changes downward.
I made the picture with MS Paint and I'm hoping for more reputation so I can add links and comments, so hopefully it was helpful : )
ABOUT THE OTHER ANSWERS:
user10851's answer is correct, but anyone who isn't familiar with physics (and doesn't have awesome spatial awareness) won't understand it. Also, his answer basically says that it happens because the cross product tells it to, which isn't very helpful.
NeuroFuzzy and HelloGoodbye are incorrect.
ABOUT HELICOPTERS and My Credibility:
I have a US FAA Rotorcraft-Helicopter Private Pilots License and just over 100 hours flight time in small helicopters. I'm also an Electrical Engineer who tutored physics and calculus at my university. Helicopters have four controls that are related to their motion, but you often only use three. The collective increases the pitch (a.k.a. angle of attack) of all blades throughout their entire rotation, letting you change the total vertical force, adding or reducing lift. The anti-torque pedals change the pitch of the tail rotor blades (all blades change together like the collective), allowing you to turn the nose left or right. The throttle controls the fuel flow to the engine and is often linked to the collective through a "correlator" so that it doesn't need to be used. And lastly, the cyclic, the object of our discussion. The cyclic adjusts the pitch of the blades predominently at one point in their rotation so that the force is greatest there. It does this through a genius mechanism called a swashplate. When using the cyclic, the pitch of each blade changes smoothly like a sine wave as it goes through each 360 degree rotation. Each blade is only at its highest pitch when it is 90 degrees behind the direction the pilot is pushing the cyclic (as the OP mentions). If we called this position 0 degrees, the pitch descreases as the blade moves to the 180 degrees position, and then begins increasing again, reaching max pitch when the blade has gone full 360. Almost like flapping your wings. Fully articulated rotor systems are said to flap, feather, lead, and lag. The FAA has an awesome free pdf about flying helicopters you can get here @ faa.gov/regulations_policies/handbooks_manuals/aviation/helicopter_flying_handbook/