You can liken this debate to film. Would you just shoot and drop off your film to a lab to be developed, or would you develop yourself, and work your darkroom magic on the picture?
Raw puts the development in your hands. You control the contrast and saturation, losslessly, and you have much greater control over the exposure. Nobody nails there exposure everytime, and even if you get a perfectly acceptable exposure, there's no telling when it might look better at a half stop under, or over, and you'll get the best result from a raw file for situations like that.
You can use other software than the one supplied with the camera too, (which I find a bit clunky)
C1 LE is a great one, which I highly recommend, and there is also Photoshop CS and CS2 with adobe bridge and the camera raw plugin, and lastly RawShooter Essentials (which is free).