Lyes, we once wondered if a square spring could be made for a specific applications. So we took out some square stock and wound the wire around it...

Unfortunately the "spring back" tendency of the wire, the amount it opens back up from the internal winding form, meant that the corners of the square were all over the place when it relaxed! It looked pretty cool, as the amount of spring back was the same throughout, but the lengthwise section of the spring wasn't a consistent square anymore. The only way to make a non-circular spring who's corners remain lined up after spring-back would be to create a spiral rod bending form with the exact rotation/twist needed for the spring back of the chosen wire diameter. Gives me a headache just thinking about it, but that form could probably be one in MoI!