Raising something to an imaginary number is weird, I have a hard time wrapping my head around that.
And $e$ seems even more common and comes up in many situations, such as:
- the non-geometric definition of sin,
- the fourier transform,
- $e^{\pi i} = -1$ !?! (see, for instance, here)
I'd really like to have some light shed on the matter.
How do I begin to form an intuitive grasp of $e^i$ ?

The other answers are very nice. I'd just like to add how this works, because it's very nifty and somewhat surprising if you see it the first time. Look at the series definition of $\exp(x)$:
$$ \exp x = \sum_{k=0}^\infty \frac{x^k}{k!} = 1 + x + \frac{x^2}{2} + \frac{x^3}{3!} + \ldots $$
When $x$ is real, this has a fairly simple behavior, it grows monotonously. However, if you allow complex numbers, you can get minus signs in there because of $i^2 = -1$. Let $x = i\alpha$, and then:
$$ \exp i\alpha = \sum_{k=0}^\infty \frac{(i\alpha)^k}{k!} = 1 + i\alpha - \frac{\alpha^2}{2} - i\frac{\alpha^3}{3!} + \frac{\alpha^4}{4!} + i\frac{\alpha^5}{5!} + \ldots $$
Two interesting things happen:
If you collect all the odd terms, which are imaginary, you get:
$$ \mathrm{Im}\,(\exp i\alpha) = \alpha - \frac{\alpha^3}{3!} + \frac{\alpha^5}{5!}- \frac{\alpha^7}{7!}\pm \ldots = \sin \alpha $$ and this happens to be exactly the Taylor expansion of $\sin\alpha$! You start with the value of $\sin(0)=1$ as a first approximation, and keep adding Taylor terms. Since $\sin'0 = \cos 0 = 0 $ there is no $\alpha^1$ term, but $\sin''0 = -1$, so the $\alpha^2$ term is negative, and so on. Every term flips the sign and adds two bends, and you approximate $\sin \alpha$ better and better. A nice picture from the wikipedia article Taylor series:
All the even power terms are real, and they give $\cos \alpha$:
$$ \mathrm{Re}\,(\exp i\alpha) = 1 - \frac{\alpha^2}{2!} + \frac{\alpha^4}{4!} -\frac{\alpha^6}{6!} \pm \ldots = \cos \alpha $$
Which allows you to write the nice formula of Euler:
$$ \exp i\alpha = \cos \alpha + i\sin \alpha $$
As already said in the other answers, you can think of $\alpha$ as the angle from the x-axis (counterclockwise). Since for complex numbers, conventionally $z= x + iy$, it follows that $x = \cos \alpha$ and $y = \sin \alpha$. If I'm doing e.g. some computer graphics calculations, often all I need to remember is "$x = \cos$" and all else falls into place. Another Wikipedia illustration of this: