To be honest, both sound a little unnatural. This is because the relative clause is actually unnecessary. In the real world you'd probably say: I borrowed a really interesting book from the library last week. Of the two sentences you've given, though, the second is preferable, because the relative clause relates to the book. In the first, it relates to the whole main clause, suggesting that the fact that you borrowed a book is interesting.

People say both sentences, but you're quite right -- it's far better to use the second option (assuming "which" refers to the book), where the relative pronoun comes right after its antecedent. In the 1st sentence, one could easily interpret "which" as referring to the whole clause, ie "It's very interesting that you borrowed a book at the library." As for the second sentence, you could easily rephrase it as "I borrowed a very interesting book from the library," but I suppose then you wouldn't be practicing your relative clauses....

It is a little difficult to answer, but here is my answer: In the first sentence, you are using 'which' to modify a whole sentence, and you should know that using this structure to build a sentence is 'informal' and is often seen in spoken English. This structure is generally not recommended in formal writing. Of course, you need a comma to show a pause in speech. As another example: The Argentina played amazingly yesterday, which surprised everyone. But in the second one, you are using the general way of adding an adjective clause. Since you've used two commas around 'which is really interesting', the adjective clause is not necessary to identify the book. The listener already knows which book you are talking about. I hope my answer was clear to understand!