Well, you can still check collisions with round objects. First do the classical and efficient rectangular check - if there is a collision, test again with more advanced criteria, e.g. exclude corners and so on. Not as CPU intensive, because it only checks when there is a collision with the bounding rectangle.
For example, you'd first do bounding box collisions, THEN (if there is any collision) do per-pixel checks (which is the MOST intensive).