Chart of the Five Lagrange Pointshttp://www.nasa.gov/images/content/55870main_lagrange4a.jpg
There are five Lagrangian points around Earth, however points 1-3 are only stable in the plane perpendicular to the line between the two bodies. Points 4 and 5 however are stable if the ratio between mass 1 and mass 2 are greater than 24.96, which is the case for both the Earth and Sun system, and the Earth and Moon system.
The O'Neill Cylinders would work well in the Lagrange Points because of the fact that when an object is at a Lagrange Point, it acts much the same as a satellite that is in geosynchronous orbit with a planet. Things at a Lagrange point are at a "fixed" place in space, which is quite an advantage for O'Neill Cylinders.