Basically, shooting RAW means that you store the raw image sensor data, virtually untouched (but losslessly compressed, of course!). Creating a JPG out of the large amount of information captured by the sensor corresponds to throwing away a ton of information and involves many destructive operations.

Taking home the RAW file, however, means that you get to choose what you do with the files, you can properly adjust the white balance, do some highlight / shadow recovery, exposure adjustments, dynamic compression, etc. to a much, much larger extend than would be possible with a JPG.