Here's an interesting find in IE...

If you create a link with no visible content, define it as a block element and then with CSS place it over an image, it will only be clickable where image data exists under it.

So for a free-floating circle this would act as a circular link.

However... If you have multiple images overlapping under the link, it does not sum those images together. Therefore you can only click on the non-transparent data of whichever image you're over. Example: If you had a small circle over a bigger circle, both within the same sized block, you could only click on the small circle, not any part of the larger circle.

In other browsers it's just a square regardless. Also, in IE you can't seem to adjust the Z order of the link, even after having made it a block element, only elements such as divs and images seem to take this property.

EDIT: Putting in a background image (transparent gif) into the link element allows IE to take its z-order.