Most Greek and Roman columns (but not all) were fluted. That means they had narrow channels running up and down them.
The Greeks probably started this idea because their earliest columns were made out of wooden tree trunks. When the builders shaved the bark off the trunks it left these vertical gouges. When the Greeks began to build stone temples, they copied the gouges from the wood because it made the columns look skinnier and taller and more elegant.
Fluting the columns, one flute after another, also gave the columns and the whole building more of a feeling of rhythm. Architects working in ancient Greece thought that rhythm was an important aspect of a temple.