If you’re using a CSS 3 compliant browser (such as Firefox, Safari or Chrome), you should see that the search form on my sidebar is niceley rounded and shaded. If you’re using IE 8 or below, (apparantly IE 9 will include better CSS 3 support) it’s probably square. (Please note, this was on my old site design).
I copied the styles from a great example at web designer wall.
I’ll probably edit the style because I’m not normally one for totally pinching ideas wholesale.
To change the value on the search button, (I’m using a custom wordpress theme), I had to create my own searchform.php file in my theme folder, rather than use the default one.