Were you wondering where the expression originates? Two versions - one is that as you open your mouth to sneeze, the Devil jumps in, but if someone blesses you, he has to leave again. The second is the belief that sneezing was a symptom of The Plague - hence the line in the nursery rhyme "A-tishoo a-tishoo we all fall down." as in die, and blessing a sneezer would ward off The Plague before the sufferer was stricken.
I seem to remember being told that it was to do with your soul being expelled from your mouth, but I haven't been able to find any references to this, so maybe I'm imagining things. There is also the added element of 'bless you' sounding not unlike a sneeze.
To divan:
Your soul leaves your body when you yawn - as much as I know. This is why you cover your mouth with your hand. The only thing I do not understand is why women do so as well, since the (roman catholic) church claimed for centuries, that women have no soul at all.