I built round objects using LEGO bricks, which are rectangular. To make it harder, I used only 1x2 bricks.
To make these, start off by making a long line of the blocks. When long enough, you can gently pull the two ends near each other and try to connect them. The LEGO bricks will actually "flex" a bit based on their tolerance. The images below show every 1x2 LEGO brick I own. It took about three hours to pick through our pile and find these.
Once I got comfortable making circles, I had to figure out the minimum length of LEGO bricks that could be connected in a circle. Using a wall height of only two bricks, it turns out you can go down to 40 bricks long. Getting a circle required several attempts where the nascent circle violently exploded across the room. After it was connected, the circle was stable enough to roll around.