I bought my first DSLR (Nikon D100) in 2000. I am an avid reader of all things about photography and digital imaging and have read some pretty heavy reading on this issue. All the gurus urged shooting in raw format and I bought larger memory cards and did so from the "get go." I drank the kool aid and never looked back.
A year ago I Blogged about this issue http://lightcentric.wordpress.com/2009/08/09/why-you-should-shoot-raw-and-some-of-my-other-prejudices/
. I am convinced a lot of shooters don't really understand what raw is and if they did, would always shoot raw. Now that CS 5, ACR 6.0 and the newest iteration of LightRoom is out, there are even more reasons to shoot raw
(I need to do a followup on that blog).
As others have noted, the primary
reason to shoot raw is its considerable dynamic range. If properly exposed, you can have several stops of exposure to work with.
A second good reason is the ability to work with major adjustments to the image. As FAX points out, you can correct white balance. Even more interesting to me, you can change
white balance to suit your taste. For my everyday, outdoor photography, I don't even think about the white balance setting on camera.
Third, it gives you a much deeper (pixels and bit depth) image to work with than a jpeg (some cameras will render TIFF, but they are generally huge files -- larger than raw). This means you can do editing of the image (both pre-photoshop and in photoshop, "destructive" and "non-destructive") with much less penalty.
I think of raw as my "negative." I agree with Charles 100%. Memory is cheap!!
BTW, even a "know-it-all" like me learns something really fundamental from time to time. As some of you know, the changeover from CS3 to CS4 and 5 made major changes to the look and feel of PS. After upgrading first to 4 and recently to 5, I decided it was time to find another book on the A-Z of the program. I learned, while reading about the changes and upgrades to ACR (adobe camera raw), in a sidebar, that it is raw (and is not an acronym, but really is like it sounds and is a description of the state of the file). I have probably written it out as "RAW" a hundred times