e^x = 1 + x/1 + x^2/(2!) + x^3/(3!) + ...
If you substitute ix for x, you get:
e^{ix} = 1 + ix/1 + (ix)^2/(2!) + (ix)^3/(3!) + ... = = 1 + ix + (-x^2)/(2!) + (-i)x^3/(3!) + ...
You can also derive the Taylor series for sin x and cos x, which are:
sin x = x - x^3/(3!) + x^5/(5!) + ...
cos x = 1 - x^2/(3!) + x^4/(4!) + ...
Therefore you can see that e^{ix} = cos x + i(sin x). Of course, I haven't shown how to derive the Taylor series (http://en.wikipedia.org/wiki/Taylor_series) for these functions, but I have to stop somewhere.
I hope that I have shown you that this isn't just an arbitrary convention, in fact far from it. The formula is so beautiful also because of the many intricate relationships between all these elementary mathematical concepts, including complex analysis, trigonometric functions, series, etc.
It should also be noted that this is just one of the many (in fact, aleph zero many) different ways to prove this equivalence.
Edit: Some formatting corrections, sorry, new here.