You need to be a bit more specific to make claims like that. Obviously to say a square tube is more resistant to bending than a steel tube, it would depend on the properties of the tubes, such as the sizes and materials.
The way I've typically seen them compared is to look at the strength to weight ratio when using the same material. Strength to weight ratio is very important for aircraft; which is also why they use a lot of materials like aluminum and titanium.
Because of the way bending moments are applied, you want material where it can provide the most resistance against the load. For bending, that means you need material in the axis of movement; and the further away from the neutral axis, the more strength it can provide for the weight (though depending on thickness, this may introduce buckling if you make them too far from the axis). I-beams are a really good example; they have a lot of material in the bending direction, with both the flanges spaced away from the neutral axis.
Since a round bar doesn't really focus the material far away from the neutral axis of bending, a square tube will give you a better strength to weight ratio against bending. A round tube will be the same for torsion.
As far as resisting both goes, a hollow steel tube wouldn't be a bad start. It's a bit of a mix between I-beam and round tube. I'm sure you could use some sort of optimization to get a better shape, or even tailor the shape to the expected loads if you really wanted to optimize the shape.