When you take picture with your digital camera and it outputs a jpg, the sensors collect the data, and then the camera performs a number of operations, including but not limited to, assigning a color profile, white balance, various compressions techniques, and more.
When you capture a raw image, you aren't really creating an image. A raw file is not truly an image like a jpg. A raw file is a collection of data representing all of the data captured by the red, green, and blue sensors. When you preview a raw in your LCD, you are seeing a jpg interpretation.
What are the magnificient benefits of RAW?
It does not suffer from any automatic processing within the camera. You bring home everything that your camera saw through the lense at your ss, ap, and iso. With the right software, you select all of the processing yourself.
You can manually set the white balance and choose a color profile. Normally, adjusting these in a jpg would cost you some data.
You have a richer set of color data to work with and can make strong changes before converting to jpg. Each time you alter a jpg, you are losing color data. So getting as much corrected in RAW as you can will leave you with a higher quality image in the end.
A cool thing with Adobe Camera Raw plugin... If you blow out some of the detail, ACR can attempt to recover that lost detail by adjusting the exposure slider. This is not possible with a jpg. I've saved many images by doing multiple RAW conversions with different settings and then blending the images in Photoshop.
My wife and I started shooting in RAW two years ago and we love it. It adds additional work to your workflow, because you have to convert your images to another format, such as jpg, before you can really do anything with them. But for high ISO images, where noise must be removed, RAW provides more data to work with and generally results in a higher quality editted image than would have been possible with a jpg.