For joining edges, solvent like Peter says. For sticking components together, I prefer the cement that comes in a dispenser bottle. For laminating large areas, like sticking two sheets face to face, epoxy.
The solvent/cement work by dissolving the plastic in the area to be joined, leaving a continuous piece of styrene when the solvent has evaporated off. This is better than having two parts sandwiching a filler with different characteristics resulting in two joins where one is enough. For larger areas, the solvent needs somewhere to go, usually into the structure of the sheet, often resulting in unwanted surface blemishes, so epoxy for that job. It also comes in handy when fixing other materials to styrene that are unaffected by the solvent, like wood and metal.