If you are using Photoshop, I found some border tutorials for you. You can start out with these.
Grunge Border Tutorial
http://www.dubtastic.com/tutorials/border/border.html Dotted/Dashed Border
http://veredgf.fredfarm.com/tuts/dash_box/index.html Simple Border
http://www.gamingunderground.com/index.php?showtopic=14172 Nice Beveled Pixel Border
http://www.spoono.com/photoshop/tutorials/tutorial.php?id=74 Just play around and be creative with your borders. The border doesn't have to be the same all the way around. If you are good with getting image transparency to work with your sigs if they are GIFs, you could do some pretty nice things, like cutting off a corner or two. Like this person from a random forum on the internet, his sig border is pretty nice.
Just don't go overboard with your borders, sometimes a simple one will be just fine.
There's lots of other stuff out there. I would bookmark spoono.com because they have LOTS of links at the bottom right of their pages which have some good tutorials on various things. Give it a look.