The are several ways to cover up the edge of plywood being discussed over at Woodnet Forums. The reason for the banding is two-fold, first to cover the unsightly edges of the plywood and secondly, in some cases, to add strength and rigidity to the plywood.
I have used different methods before, and for me it depends on the application. For a shelf or area that will not see much abuse or use, I have used iron on edge banding. One downside to this is it can be hard to locate the iron on type of all the different woods out there. The most common are readily available about most big box stores, but if you are working with Walnut, Cherry or other less common plywoods, the iron on banding might be something you have to order.