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There are actually many ways to accomplish rounded shapes.... You can draw circles at ends of rectangles and use Pathfinder or the Shape Builder Tool. You can use Effect > Stylize > Round Corners You can use VectorScribe from Astute Graphics (third party $$ plug in -- See note below). You can use thick strokes with round end caps. And then, of ...
The small trick with Pen Tool is to use it with Shift. This is related to the question as-is. There are a lot of ways to make the shapes you mentioned. You place the Point in every place where the curve changes its direction. When you press Shift you get straight lines and dragging the handles will create nice round curves - as on this 1 minute picture.
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