Basically EDGE is an enhanced version of GSM. "EDGE (Enhanced Data rate for GSM Evolution) is a specification for (faster) data transfer on GSM networks." So there will be times when the EDGE is not available due to out of area, glithes, etc. and you will be strictly on GSM. Hope this helps.
This is also why I like 3G phones only, the 3G is faster Data, if 3G is down hopefully edge is up to hold me up with data. I like to have 2 options of having data instead of one, and 3G is just so much faster then edge.
Also, if there is edge coverage your phone should not be on GSM. Try batt pulling and see if it goes back to edge, or you can call cingular and ask if there is a outage in the area.
Your device dropping out of EDGE doesn't mean there is something majorly wrong. It could be that when you were passed to the nearest tower on the network it didn't go successfully but don't worry to much it will connect again soon enough.
No point waiting on hold forever when its going to come back to EDGE by itself. And if you really need it, a power cycle is an easy fix.