I shoot uncompressed NEF. I compared the same shot of our brick house using the NEF + JPEG mode of the D2X. The JPEG was captured using the highest quality mode. In comparing the two pictures, I could see greater detail and tonality in the brick of the NEF image. The longer I looked, the more positive differences I saw in the NEF image. Image quality is number one for me and NEF provides it.
One of main reasons I purchased Nikon digital is their RAW implementation - NEF and Nikon Capture. With the pair you've got a great deal of non-destructive editing capability. I find a slight change or sometimes a large change in exposure will improve the picture. I use the Advanced RAW feature in NC4 often to alter exposure, color space, tone, and sometimes saturation from the original settings. I'll use the WB controls in NC4 to fine tune the WB. All done without altering the base picture. You can store multiple sharpening profiles and select one expressly for the desired output.
I find myself rarely using CS and now CS2 for hard to correct images.
I will create JPEG images to share via various media, but almost always from the NEF. I can see if someone is pressed for editing time, using the in camera JPEG capability can be a great time saver.