I can only speak for the InCase (sp?) protective rubber sleeve because that's the only one I've used. I tested my iPhone with and without the sleeve after some people said not to cover the antenna with your hand. I noticed no difference at all with the case on or off.
I doubt if there's any effect, at least for non-metallic cases. In general, though, I find that EDGE is very finicky - I'll have a great connection one minute, and nothing the next, without doing anything.
I have a hard plastic / leather case and there is no difference with it on or not. However I do noticed my hand will cause an issue. I'm assuming the reason the hand cases issues is because of the amount of water in the human body messing with the signal.
I to have noticed the hand having an effect on edge. Sometimes I can lay the phone down and the page will come right up. I have also be able to move a few feet one way or the other and get better load times. Weird.