Nikon D500 RAW and JPEG differences

[Lipoly]

After salivating over digital SLRs for probably 15 years I finally purchased a Nikon D5000. I have been shooting in RAW+Fine JPEG mode and just started trying to use Gimp to compose an HDR image. I set the camera to bracket AE2.0 and snapped 3 pictures at different exposures w/the remote. The JPEG images all look distinctly different (given the different exposure), but the resultant RAW (NEF) files don't look nearly as dissimilar. I realize some post-processing is done on the JPEG images, but am surprised how different the exposure is. For instance, in a dimly lit room, I shot one @ F/14, 100ISO, and only 1.3s shutter speed. The JPEG looks very underexposed as I'd expect, but the RAW image looks only slightly under exposed. I used UFRaw to pull the raw image and do some basic adjustments and can get it to look similar to the JPEG just by lowering the exposure compensation.

My question is given I have exposure compensation set to zero on the camera, is it normal for the JPEG to have such a different exposure than the RAW image?

Here is the JPEG as processed by the camera: http://farm5.static.flickr.com/4009/4676282196_be39ed6766_b.jpg

Here is RAW file (converted to JPEG): http://farm5.static.flickr.com/4069/4675664249_5ff7bc1e7b_b.jpg

I apologize for the lame subject matter...just nabbed some to practice w/HDR.