I've encountered a lot of misconceptions about shooting RAW vs Jpg. I've heard people say that they've taken a shot in RAW format and another shot in Jpg and compared them and found no difference. This is true -there's little difference between the two as they come straight from the camera. The difference is clear, however, when you need to change the photo's brightness, white balance, saturation, or contrast.
To demonstrate this I put my Canon 30D on "RAW + Jpg (fine)" mode, which records both a RAW file and a Jpeg file with one push of the shutter button. I then took a picture that was underexposed by 1 stop. (Translation = it was deliberately taken so that it was a little too dark.) Then I opened the RAW file in DPP (Canon's RAW software and brightened it by 1 stop). Then I opened up the original Jpg file in Gimp and brightened it by 1 stop as well. I then took 100% crops (small pieces of the photo so they could be compared at full size) of both and here's the result:
(click on the image to go to Flickr page where the full size version can be seen)
...I welcome critique of the test as well as discussion about the outcome in comments here, on my Flickr page, or on the Photography_Beginners yahoogroup.