Opto-isolators for digital on/off signals are simple to build or buy. Analog opto-isolators are much more complex and quite expensive for the apparent simple task they perform. Typically they are used in industrial process control systems using PLC or DDC control systems.
http://www.omega.com/pptst/DMD4380.html
If your not required to have galvanic isolation, interfacing a loop powered 4-20 ma current loop to an arduino analog input pin can be as simply as having the loop run through a 250 ohm resistor and measure the resulting voltage drop of 1-5vdc wired to a arduino analog input pin. This does require that one end of the added resistor is wired to the negative terminal of the loop power supply as there must be a common ground between the current loop and the arduino.