Because of gravity I think. The force of gravity pulls matter together, and this naturally forms a sphere as all points are equally distant from the centre.
It is because they form via gravity, a sphere has the same value of gravity at all points on its surface, so it has the minimum energy possible. As Sam says though they are not completely round, and it is quite a significant! They kind of bulge out in the middle, so they are more like a squashed sphere. I think the radius at the equator is about 10km larger than at the poles.
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