The deal with selvage denim is largely that it is woven on narrow looms, the way denim was woven years ago (pre 1970's at least). It is more expensive for lots of reasons, but one is simply that the denim is manufactured in less bulk quantities, is narrower, and it takes more yardage to make a pair of jeans. You can get TONS of info about it on fashion sites for men, but it is not necessarily the selvage line/edge that makes the denim better, it has just been denim purists (largely Japanese) who have insisted on selvage denim for some time now, and so up until recently selvage denim goes hand-in-hand with quality and attention to detail in manufacturing of the fabric and construction of the jeans. Now that it is starting to become a hip trend, other manufacturers are trying to "cheap out" by either making cheap and low quality selvage denim and/or adding selvage details on denim that is not selvage.

I'm both a selvage denim lover (at least, quality selvage denim like what Self Edge NY & SF carry), and a sewing and sewing machine nut. I've got a couple of old Necchi's and Singers and now I actually have a lead locally on a 1930's Singer industrial chainstitch machine, which I'm dying to get my hands on so I can hem my own denim.

Just as a side note, the reason denim nerds insist on chainstitched hems on their selvage jeans is the way a chainstitch pulls on the fabric differently than a lockstitch does, which leads to a unique pattern of fading at the hem when the jeans are washed, typically called "roping."

BTW, another feature of much selvage denim, particularly that made in Japan, is natural indigo dye, which fades very distinctively over time as the jeans are worn and (as seldom as possible) washed.