Many people are saying that taking the border off your ads will improve your CTR and earn you more money. But in my opinion, this theory circumstantial. I just launched off a new home business directory and what I've realized is that taking the border off my ads actually brings down my CTR. I guess if you blend your ads in too much it creates Adsense blindness.
As with all things relating to Adsense, one size does NOT fit all. Some have good luck with one particular technique, but that technique may tank on other sites. Test things for yourself and implement those which work best for YOUR particular site.
I think it mostly depends on the theme of the site where we need to have a border or not. For some sites, borders may work well, where for some sites opposite can happen. I personally think that in white backgrounds, ads without border work better.