Are phospholipids capable of forming automatically circles or vesicles?
Phospholipids structure can be described as a charged phosphate head group, with long hydrophobic chains coming off it. When you put these molecules in water, like oil drops, the oils spontaneously conglomerate into sheets on the surface of the water.

How, depending on concentration and size of the phospholipids you can get from sheet like membranes to spherical droplets. In either case the spontaneous formation of sheets or micelles (spheres) results from the entropically driven hydrophobic effect. 

The simple way to understand this hydrophobic effect and entropy, is that when two hydrophobic tails between two phospholipids are in close proximity, the hydrophobic tails are able to interact via van der Waals forces. But even more important is that water molecules that surround each hydrophobic region of the molecule, are excluded between them. This means that the entropy of water increases a lot more compared to the loss of entropy from having the phospholipids come together and stay together. 

This is a pretty fundamental concept to how proteins fold. Look up hydrophobic effect on google for nice, diagramatic explanation.

Or check intro biochemistry textbook like Nelson and Cox (2012) principles of biochemistry textbook.