QUESTION
It seems that "e.g." is always followed by a comma but "i.e." is not. Why is that?
ANSWER
The distinction probably emerges from their different meanings in Latin, which grants them different usages in writing. E.g., or exempli gratia in Latin, "for example", should be generally followed by a list of examples; thus adhering to proper English style usually requires commas to follow e.g. in order to delimit the beginning of that list. I.e., short for id est, which means "that is" is Latin, is instead used to recapture the meaning of an antecedent clause by a rephrasing, so it is generally only followed by a clause describing a singular entity, and thus need not require a comma.
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