Now that you know... You're probably wondering what the advantages/disadvantages of one over the other are... You could search RAW vs. JPG and get about a million hits, but I'll just tell you here...
RAW is more work, but better in the end.
I'm sure you have had film developed before...?
Think of it like this:
RAW is developing the film yourself and making prints in a darkroom. JPG is taking it to Walmart and taking whatever they give you.
The darkroom is the computer. It'll be a little more work on your part, but the end result will be better pictures.