This is a quick fix for what is likely an annoying issue for many people. With the integration of iCloud into our Macs and iDevices, we've come to expect that our calendars will automatically sync between our devices.
This issue arises when we have additional email accounts added to our computers, iPhones and iPads. GMail is notorious for this, as by default it enables the addition of calendars in our Settings.
Most of the time this isn't an issue, but it does become a problem when we don't check which calendar we're creating an event on. If you always expect to have events show up on a particular Calendar, make the explicit choice in either your iPhone (or iPad's) Settings App, or in Calendars under preferences.
This will stave off a lot of confusion and frustration.
To do this on iOS (iPads and iPhones), go to Settings -> "Mail, Contacts, Calendars" and scroll down until you see "Default Calendar". Make sure the calendar you choose is on a service that you expect it to be on such as iCloud.
In Calendars on your Mac, the setting can be found by opening the Calendars application, and choosing Calendar -> Preferences from the menubar, and looking toward the bottom of the General tab: