It depends on whether or not you absolutely have to have it in all browsers. You can use some CSS3 properties, which work in Firefox, Safari and others, but doesn't work in IE. Otherwise, you'll have to do either some hacks or a bunch of extra divs or other elements.
Check out http://www.css3.info/preview/rounded-border/
I usually do a semi-transparent GIF as the background image, but it doesn't work in all browsers.