I found a link today to a grammar blog written by a copyeditor, which has a useful entry clarifying in detail the differences between i.e. and e.g. The terms are often used interchangeably, though they mean different things. I.e. ("id est" - or memory trick "in essence") means "in other words," while e.g. ("exemplia gratia") means "for example" (memory trick e.g.= "egg sample" = example).
If that's not clear enough, there are a couple of illustrative examples in the grammar blog. The discussion there notes that the terms should not be italicized because although they were originally Latin, they are now considered conventional English (curiously the blog entry does have the terms italicized - go figure).
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