Exhaust pipes are circular for a number of reasons. Mainly ease of manufacturing because its far easier to bend a round pipe than an oval one, with its strength being the same in all directions it's less likely to collapse or kink. Another reason is that a circle has the smallest edge for a given surface area*, so any other shape will add to weight and material costs. Also, a circular design minimises turbulence and disruption to the gas flow.
*for example, for a surface area of 100sqcm, a circle will have a circumference of 35.45cm, a square has edges totalling 40cm (13% more), and a right isosceles triangle will have edges totalling 48.28cm (36% more).