The NEF files are imported without the processing applied to JPG images. Lightroom has a number of ways to correct this.
1. White Balance 2. Auto Tone 3. Develop Settings 4. Auto Develop Settings
The first two are in the Library module. The second is the Develop module, and if you have a set of Develop setting that you want to use regularly, you can set them up as Auto Develop Settings in the Import dialog.
IIRC, Capture NX 2 can extract the metadata of the imbedded JPG and apply those settings to the raw image.
Actually the NEF has the in cameera settings as part ot the MakerNote section of the EXIF metadata in the NEF. The embedded JPEG has has these settings applied to the image before beint embedded.
One can open the NEF in Nikon ViewNX or Capture NX2 and have the camera setting applied to the NEF. Both programs have the ability to directrly transfer the processed NEF to as a TIFF to other editing programs by using the "Open With...'
I had the same issue and it was always a letdown to see a well balanced image turn drab after processing and then trying to figure out how to get back there again. Well, I found a way. Adobe released camera profiles that can be imported into lightroom and photoshop. It will recognize the camera you are using and only give you options applicable to your camera. I have found the "camera standard" option to most match what I say orginally.
You can open the NEF images in Veiw NX and let the Nikon software apply the camera settings. Then from the file menu you use 'Open with ...' to directly transfer a memory TIFF image to LightRoom or other appliction.
Adobe is working on an ACR/DNG profile editor and camera profiles. There are Beta, end user testing version, versions available through Adobe Labs.