I often see on forums, people saying that they have shot both raw and jpg and can't see a difference. An additional comment, since Lightroom has entered the fray, is "Lightroom handles jpgs and raws..so why bother with raw?".
Over at The Luminous Landscape, Michael Richeman has produced a great example of the difference between the two formats when you actually do the same processing on them.
Here is a photo from my recent trip to the Lake District and yes it was captured in Raw: