RAW files are digital Negatives from a digital camera (DC).
Normally, when you take a pict with a DC it will be saved as JPEG, meaning that you can no longer influence lightintensity and more.
It does take a bit more space on the card in the camera, but this fileformat also gives you the chance to create HDR pictures, insteead of the normal LDR pics that come form cameras.
Not all cameras have the raw format as a possibility, mostly the more advanced ones do, I have a canon 50D and a 7D and those support CR2 format. (one of the RAW formats)