I had the same problem until just now jedimasterkyle. I only started using iCloud a few months ago, so mine was a rookie error, and don't know if it will help you.
When I set up icloud, I found I had two identical sets of calendars showing up on my iphone, one called "From my Mac" and the other called "iCloud".
I did the right thing and stopped the "From my Mac" calendars from syncing or showing up in the calendar on my phone, and made only the iCloud calendars visible. I was (and still am) too scared to delete the "From my Mac" list, however just in case...
Anyway, when setting my default calendar on my phone (the one that new events are made in) I wasn't careful, and chose one of the calendars from the "From my Mac" list - which of course aren't syncing with my computer. As the colour and name were the same as the iCloud ones I didn't notice my mistake until just now (obviously after googling lots of stuff and getting annoyed).
BTW if anyone knows whether it's safe to delete that "From my mac" list of calendars from the iphone without affecting all my old appointments on my computer (which I refer to for my tax return) I'd be grateful. I assume it is but you know, technology is scary.