I did a little research, and found that the "aig" pronunciation what considered universal in the south in the early twentieth century, when it was ridiculed by writers and journalists, who often spelled it phonectically. Later, it was used among all social classes in the Upper Midwest, and is now considered regionally specific to the Ozark region (where many of my family members are from). In addition, New Englanders will often say "eeg".
So, how do you say it? Just for the record, Stephen Colbert says "aig". See embedded video from last night's show below. You really should watch the whole thing, but the word in question is at 1:51. Also, bonus video of "The Word," in which Colbert takes down Limbaugh.