there's a reason trees are round, and it's not luck: circles are the most efficient use of material for strength, by weight, if the material will come under load from many directions.
the strength of a beam is governed by the material properties, and the cross-sectional shape of the material, which is the second moment of area (or inertia, depending who you ask). in a nutshell, the second moment of area is a measure of the cross-sectional shape's resistance to bending in certain directions. circles are obviously equally strong in all directions, when a rectangle is strong when bending across the short edge, and weaker when bending across the long edge.
the greater the second moment of area, the greater the resistance to bending. a shape with a lot of material a long way from the center of area of the shape will have a high second moment of area. that's why a certain weight of hollow tube is MUCH stronger than the same weight of solid bar. the material is further from the center of area.
for a design that won't be engineered in full, where the resolution of forces is unknown, you're definitely better off with tube, because it's equally strong in all directions. take a look at light-aero, hardcore 4WD offroaders, sprint cars, etc - all pastimes that involve "homemade" steel frames in high stress situations - and all use 4130 chromoly steel TUBE almost exclusively.
Pro - tube will resist twisting more effectively than an SHS section of equal mass per unit length. not sure about the crushing point. probably depends on which direction you're trying to crush it: flat-to-flat or corner-to-corner...