While most people think of jump rings as round there are many cases where an oval jump ring is actually more secure.  The joint of a jump ring is the weakest spot.  In a round jump ring the pulling pressure on the ring can be directly on that joint.  Because oval jump rings are cut on the longer side the pulling pressure is almost never directly against the joint.  

Because of this oval jump rings can be used in many cases where the jump ring needs to be more secure.  Charm bracelets are a prime example.  On a charm bracelet the jump ring often needs to appear delicate, while still being secure.  A oval jump ring may be more appropriate than a round one.