The GNOME desktop environment is designed to give priority to usability and simplicity over customizability. Hence, the width of the window border is something that is not easily changeable. In all practical considerations, Jacob's recommendation that you use Alt+middle-click instead of dragging the window borders is likely to be the best solution for most users.
With that said, the size of the window border does vary between Metacity themes. As a first step, you might try picking a different theme from GNOME-Look.org.
If you're really determined to adjust just the window border without changing the rest of the theme, it is possible to modify existing themes. Here's a reference to get you started.