rounded and beveled corners

If you only want to have rounded corners on a path, you can use Effect → Stylize → Round Corners. This will apply it as an appearance, so it can be changed later easily. If you want to make the change permanent, you can go to Object → Expand Appearance.

Another method for rounded corners is to use offset paths. While this change isn't easily reversible, it does allow for beveled (chamfered) corners as well.

1. select a path
2. go to Object → Path → Offset Path…
3. key in a negative amount for your radius, then select Miter and click OK
4. with this new path selected, go to Object → Path → Offset Path…
5. key in the positive amount for your radius, then select either Round or Bevel
6. delete the original and first offset paths