About 25% of women have ovaries that can be diagnosed as polycystic on ultrasound. This is called PCO and it can occur for a number of reasons.

Women with polycystic ovaries (PCO) do not necessarily have the syndrome (PCOS).

In PCOS the so-called cysts are actually small follicles that have not matured to release an egg.
From the Well Women's website http://www.rwh.org.au/wellwomens/whic.cfm?doc_id=2486