Think of RAW mode as being like a digital negative: you need to process the file with Nikon View / Capture, QImage or Bibble to get a viewable result. The big advantage is that you get the absolute best quality the camera is capable of, you can produce 16-bit TIFFs that retain the full dynamic range of the CCD (which is useful if you process images in Photoshop) and you can take advantage of improvements in the processing applications, which are continuously evolving to produce more accurate colour and better resolution through improved Beyer interpolation algorithms. The downside is that the RAW files are much larger than JPEGs - you'd probably need some more storage.
JPEGs have the advantage of smaller file sizes and having the camera produce an immediately usable result.
Assuming you have the necessary software (QImage and Bibble are both available as shareware trial versions) try both modes and see if you think RAW gives a big enough advantage.