Some fixtures might not cover a round box. If you already have your fixture picked out then use the matching box.

So I could just use deep rectangular for everything on the walls and be good with it? We don't have the exact fixtures picked out yet but want to put a box up that will work with whatever.

Some fixtures will not mount on a rectangular (device) box.
You need to examine the fixture.

Some sconces use a round cover and a round box.
Some are more elliptical and are designed for a rectangular device box.

Whomever is selling the fixtures should be able to tell you the requirements.

I am battling this issue right now. I picked rectangular electrical boxes but my sconces are round. It's too late to change them because that would mean I'd have to rip open the walls. If you are installing wall sconces, I'd highly advise you to pick the fixture FIRST! Then choose the matching shape electrical box. If you can't do that, then round is best. I just realized this post is over 10 years old but if it helps anyone out....I'm happy to provide info.

I can only think of one case where I didn't install either a round or octagonal box for a luminaire (light fixture). That was where I was installing a weirdly shaped fluorescent light. (Looking at you, Lampi, RIP.)

Now that I think about it, I probably could have used a round one there, too.

I'm a DIY, not a pro, I'm just imitating the pros -- round and octagonal boxes are what I've always seen when I've removed old lights to repair or replace them.