Our tech magazine switched from e-mail to email (and from e-book to ebook) within the past year, over the vigorous opposition of the copy editors.
The copy editors' position was that e-mail preserves the special status of the "e" as the sole surviving remnant of an entire word (electronic), as do the spellings A-bomb ("A" for atomic), B-boy ("B" for break), C-section ("C" for cesarean), f-stop ("f" for focal) g-force ("g" for gravity), H-bomb ("H" for hydrogen). M-day ("M" for mobilization), n-type ("n" for negative), P-wave ("P" for pressure), R-value ("R" for resistance), and T-bill ("T" for Treasury). The only arguable exception to this pattern that I'm aware of (aside from the disputed email and ebook) is Xmas ("X" [standing in for chi] for Christ)--and that example has problems of its own, starting with the fact that it's a shortened form of a word that is already closed up).
The copy editors further argued that the vast majority of the 55 "e-" words that had shown up at least once in articles for our magazine over the previous ten years benefited from hyphenation as a way to clarify to readers that the words bore the sense "electronic." Here are some of those terms: e-banking, e-based, e-billing, e-book, e-card, e-census, e-commerce, e-crime, e-customers, e-dating, e-education, e-entertainment, e-filing, e-finance, e-government, e-health, e-ink, e-learning, e-lending, e-magazine [sometimes e-zine], e-money, e-music, e-newspaper, e-payments, e-privacy, e-reader, e-recycling [sometimes e-cycling], e-retailer [sometimes e-tailer], e-schools, e-services, e-shoppers, e-tax, e-ticketing, e-travel, e-voting, e-wallet, e-waste, e-work. As a matter of consistency, the copy editors argued, we should handle all "e-for-electronic" constructions the same way--and realistically that would mean hyphenating all of them, since no one was advocating for ebased, eeducation, eink, eretailer, or ewaste.
The countervailing argument was that spelling e-mail with a hyphen made us look old-fashioned, and that consistency in punctuation was overrated.
Here's a radical idea: Maybe all of these words of the G-man ("G" for government) type aren't "compound words" as we normally understand that term. Maybe instead they're a special class of contractions, with three unique characteristics:
The first word of the contracted phrase is reduced to a single letter.
That first letter is pronounced as the letter itself, rather than as the sound it would have represented in the original phrase.
To indicate the unusual nature of the contraction, we use a hyphen instead of an apostrophe for punctuation.
One point in favor of interpreting these words as contractions is that in their spelled-out form they are neither hyphenated nor closed up: cesarean section, electronic mail, hydrogen bomb. The same characteristic applies to he will, is not, and we had. One very strong argument against doing so is that, as Mr. Scott says, "It's never been done." In any event, contractions tend not to lose their identifying punctuation, which puts them on a very different footing from the nonce words (such as "soft-ware") that other answerers have mentioned.