What’s the difference between EML and MSG files?

1) EML is the extension of the emails saved from Microsoft Outlook Express and Windows Live Mail.

2) MSG is the extension of the emails saved from Microsoft Outlook.

In Outlook 2010 there is no option to save the email message in *.eml format. By default it will be saved in *.msg format, however you can also save them in *.txt, *.oft, *.htm, 8.html or in *.mht formats

Check the following article to know more about saving messages in Outlook 2010:
http://office.microsoft.com/en-us/outlook-help/save-a-message-HP010355567.aspx

Source: http://answers.microsoft.com/en-us/msoffice/forum/msoffice_outlook-mso_windows8/msg-vs-eml/fdb6f4de-5602-4d37-989e-40384ed455f4