Here's a page on egg substitutes in baking. The function of the egg (binder, rising agent, texture, etc) varies depending on the recipe: Vegan Baking :: The Post Punk Kitchen tells you how
As an example, I use applesauce in place of eggs in pancakes. They add a little sweetness to the pancake. Other than that, they actually do a good job of giving the pancakes the soft texture usually imparted to them by the eggs.