It depends upon the direction of the load. Strength-to-weight in lateral bending is good with round. But you get much better rigidity/stiffness torsionally with square-tubing of the same diameter at a slight cost in weight. The equations governing thin-wall tubing is as follows:

Maximum Torsional Stress = T/2*t*Ar where:
T= Torque
t = wall thickness
Ar = cross-sectional area enclosed by the centerline of the tube

Ar for a circular section would be pi*r^2
Ar for a square section would be b^2 (b is the length of the side)