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<em> is a semantic tag meaning "emphasis". Browsers render it the same as <i>. kind of like the <strong> tag which is rendered like a <b>.
whether to use <em>&<strong> ot <i>&<b> is a religious choice. HTML purists tend to prefer <em> and <strong> because they have a real semantic meaning, like <P>, <blockquote>, and the rest. <b> just means "bold", which is a font rendering command, not a semantic definition.
I have heard people argue that words emphasized by formatting tags may be weighed more heavily by indexing engines, but I don't buy it.