How to derive the results that averaging $N$ signals yields a $\sqrt{N}$-fold increase in signal-to-noise ratio?
I will show how to calculate the SNR for the case of $N=2$ measurements; it is easy to extend the result to general $N$. Assume a signal $s(t)$ has power $S$, and the noise $n(t)$ has variance $\sigma^2$ and zero mean. Then, the signal $s(t)+n(t)$ has SNR equal to $S/\sigma^2$.

Now assume you observe $s(t)$ twice, each time with different, uncorrelated noise, $n_1(t)$ and $n_2(t)$, each with zero mean and variance $\sigma^2$. You average the two observations to get $$\frac{2s(t)+n_1(t)+n_2(t)}2 = s(t)+\frac{n_1(t)}2+\frac{n_2(t)}2.$$

The variance of both $n_1(t)/2$ and $n_2(t)/2$ is $\sigma^2/4$, so the total noise variance is $\sigma^2/2$ and the SNR is $2S/\sigma^2$, for an improvement of 2.

For some reason I don't understand, the wikipedia page on signal averaging defines the SNR as $S/\sigma$. Under that definition, the improvement will indeed be $\sqrt{N}$.