One popular audio cross fade technique that you see in the movies is when the next scene starts while there are a few seconds of audio, such as dialogue, carrying over from the current scene. You may also see the reverse, where the audio from the next scene bleeds into the current scene before the visuals have changed. Both of these techniques are used quite a lot to accomplish the same effect, to create a seamless audio transition from one scene to the next.
Some high end video recording software also lets you accomplish the same result, by putting the audio on multiple tracks, or letting you “drag” the audio portion of the previous clip to the next clip. It’s really cool when you get to use it in your home movies. It adds a touch of professionalism to your work.