Using experiments with anisotropic vibrated rods and quasi-2D numerical simulations, we show that shape plays an important role in the collective dynamics of self-propelled (SP) particles. We demonstrate that SP rods exhibit local ordering, aggregation at the side walls, and clustering absent in round SP particles. Furthermore, we find that at sufficiently strong excitation SP rods engage in a persistent swirling motion in which the velocity is strongly correlated with particle orientation.