The reason that the Sun and most large objects in space, like stars, planets, and large moons are round is that they formed and collapsed under the force of their own gravity. Our Solar System started as a giant, spinning, cloud of gas and dust that slowly collapsed under its own gravity. As the cloud collapsed further its spin increased (like a spinning skater pulling in his/her arms). Most of the material collected in the center of this cloud and eventually formed the Sun. As material collapses on itself, the most natural, efficient shape to form is a sphere. Gravity also has the effect, of trying to pull material towards the center of mass of an object. Due to the effects of rotation, the Sun is not a perfect sphere. It bulges out slightly at its equator.