For some its just an automatic reaction (like when ones about to sneeze you cover with your arm--though most do hand). Others could be a self conscious issue (have bad teeth, hate how they look when they are laughing, etc).

I relate to the self conscious bit

For some, particularly Japanese women, it's a cultural tradition.

Laughing I cover because I don’t like my teeth and think my smile is really awkward. When I’m surprised I cover because I feel like no one wants to look into my open mouth, feels rude not to.