For a total of 13 bytes (15 if you're generous with spaces, as I am), while <i></i> is seven :)
Between <a><i> and <i><a> there's no absolute right and wrong, though it's worth nothing that <a> can now be block-level (in HTML <= 4 it wasn't supposed to be, though browsers didn't mind) while <i> is strictly inline. Generally you'd want to put inline elements inside of block-level elements.
Use whichever one seems right to you. I, personally, have done both, as the occasion warrants--often within the same document--and also plenty of variations on not2easy's approach. The only absolute no-no is interlocking tags, like <a blahblah><i>blahblah</a></i>; that will make any validator kick up a fuss.