How to fill a gap between 2 objects? (different shapes)

[micheus]

lennart, just to show what ivla meant when he said "Side faces on a "bridge" part will be non-flat ..." in the first approach:


That hatching area in yellow will not be flat. Any approach in which you use starting from the cylindrical object will result in something like that and you should work on it to ensure you get perfect flat faces.