Before changing the Photoshop selection shape using filters, go to the tools panel and select the ellipse marquee tool or rectangular or use one of the other ways to create the 'marching ants'. You can then use that with gradients, effects etc however, you can also use various tools such as wave or displace etc to modify the marching ants. Go to the channels panel and then use the 2nd button at the bottom, the save command and you will see that your ellipse has been saved to an alpha channel. Select menu and deselect.
You can now go to the alpha channel and apply wave / oil paint / displace / ripple etc to that (as well as brush strokes and gradients etc) as well as blurs (so a very quick feathering method as well and one that is more flexible than the standard feather. Apply multiple ones to the alpha channel and then go to the bottom of the channels panel and click the load (as long as the entry selected is the alpha channel).
You now have your modified / changed selection which can now have gradients etc applied to in the RGB or CMYK etc