I believe the bounding box is always a 0 degree angle box to make the quickest possible collision detection. I wonder if there's not an in between though for greater speed than per pixel, but the accuracy you're looking for, as I've needed that in the past as well.
To be clear, the bounding box (black) for a square sprite (red) rotated 45 degrees would look like this:
<img src="http://dl.dropbox.com/u/1013446/fluid/Untitled.png">