There are two types of glass:
Tempered glass - The sides of the rink (as well as the team benches and penalty boxes) are lined with seamless, tempered glass.
Tempering is an annealing process, involving successive heating and cooling, and makes glass harder and less brittle.
Plexiglas - The ends of the rink are lined with Plexiglas -- acrylic plastic sheets.
The Plexiglas sheets are fitted together with supports that are mounted on the outside edge of the boards, so they don't interfere with play.
Source: http://entertainment.howstuffworks.com/ice-rink3.htm
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Usually at the ends, where the puck is likely to be shot or deflected over the goal. There may be additional cover in the midsection.