The abbreviation e.g. stands for example and is short for the Latin word exempli gratia. It differs from i.e., which is short for the Latin id est and means that is, namely, or in other words. They’re often confused, but they have little in common except that they’re both abbreviations of Latin words.
Remember that E is an example (e.g.) and that I and E are the first letters of a literal English translation of i.e.
In regular use, italicizing e.g. and i.e. is unnecessary. When English speakers are learning the language for the first time, they italicize words and phrases from other languages; however, i.e. and e.g. have been in English for hundreds of years, so they are now unitalicized. Abbreviations are all about keeping things quick and easy, after all.
But what’s the point of all this Latin? Don’t we have enough abbreviations in English?