i doubt youd want to just "get by" with a frame and roll cage. structural integrity is really important there, so build it strong the first time. i don't know about cages, but for frames ive found that some people use 2x4 .120 wall or .188 wall depending on how hard of wheeling they do. tubing isn't that expensive, so you might as well pay for the extra. look in your phone book under "steel" or "metal" or something like that and you should find some suppliers.
square or rectangle is MUCH easier to work with but if you want the strongest/lightest set up round tubing will be the best choice, the thickness and dimensions will depend upon what set up you will be using ie alum. 4cyl, iron BB v-8 , tranny al or iron and also how hard you wheel, ie like to get 5" of air or not
If i were to build a race rig ie lightest and strongest i would use cromoly tubing round and have a good layout that would support the high stress areas, but its unlikly that you after this setup so i would go out and use 2x3 or 2x4 tubing X.120 wall will work on the majority of rigs out there while still staying "fairly" light
just my .02
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