Google Adsense is offering a new option when you set up your ad format. You'll see it on the Choose Ad Format and Colors page at the very bottom. The option is to use the traditional square corners, or the new rounded corners.
Most Adsense experts will advise you not to use borders at all, blending your ads into your page seamlessly, so this option will not be of interest to most publishers. However, it may fit in very well with some of the newer Web 2.0 themes...
To give you a visual of how these new ad formats look, you can see the rounded corner option below.
Be sure to set up a new "channel" if you decide to test this ad format, so that you can compare how well it performs compared to your original ad format.