EDGE is an innovation on the GPRS technology. GPRS and EDGE are simply the same concept of mobile internet but the EDGE technology has made many more improvements. The biggest improvement that consumers are concerned with is speed.
The EDGE technology offers speeds of 236kbits per second if not more, while GPRS has speeds of up to 48kbits per second. So Yes, EDGE is better in the fact that an EDGE device will give you a lot faster data rate. But beware, some service providers may charge you extra for the EDGE service.