On LR and CS5 the picture controls are ignored if you are shooting RAW. However :
1) If using Capture NX2 then they are used and can be altered in the software. For this reason I just leave the picture controls on Standard in the camera and make all the changes I want in post processing.
2) If shooting jpegs, the picture control settings will be applied to the jpeg files and will be carried through to any post processing software. Again you have to decide if you want it this way or if you would rather apply the same changes with more control and finesse in post processing.