Interesting thread. I've been having some difficulties in knowing whether to write e.g. or e.g., - the discussion here helped, but I also found a good summary on grammar girls' site. Her summary is:

"Also, I always put a comma after i.e. and e.g. I've noticed that my spell checker always freaks out and wants me to remove the comma, but five out of six style guides recommend the comma. Seriously. I got so engrossed in the question of whether a comma is required after i.e. and e.g. that I made a table for the website summarizing the opinions of six different style guides"
(http://grammar.quickanddirtytips.com/ie-eg-oh-my.aspx)

From her table it is apparent that there is some contention about this topic. But based on the comment by AnWulf, I am going to use e.g., (even if it is cumbersome, I think it is correct for formal text documents, for now anyway).