Updated: Oct 15, 2019
DSLR's will give you the option of shooting in either JPEG or RAW. There is a difference here. If you shot in JPEG, your in-camera processor will make color adjustments to your photo. The picture will also be compressed and will lose a bit of quality.
RAW, on the other hand, is a sort of digital film negative. No in-camera picture adjustments will be made to the photo. Rather, you will have to upload the photo to your compute and made said adjustments yourself, using something like Adobe Light room. RAW also allows you to adjust the exposure by +1 or -1 stop without losing any quality.
RAW files are significantly larger in size, however, and there is considerable more work on your part required to process the RAW files, since the camera won't do it.
As a general rule I use the highest quality JPEG setting for my day-to-day requirements if I'm not doing landscape photography or anything "important." For example, if I am shooting wildlife, I use continuous shooting mode on the camera and like to get as much bang for my buck out of a 16gb memory card and this gives me the ability to shoot a continuous stream up to 170 shots. If I was to use RAW, I might only get a tenth as many pictures onto the same card AND since they are much bigger, I might not be able to shoot a continuous stream.
For landscapes, however, it is probably worth switching to RAW+JPEG. This usually decreases the number of continuous shots and uses a lot more memory but will give the maximum quality output and more flexibility in post production.