I shoot RAW ... I would agree with Luis that out of camera you won't see much difference. However, as soon as you start to play around with the jpg, image quality suffers. The RAW file gives you much more flexibility.
No problem burning .crw to CD
(every image I've kept from my D60 is burned onto 2 CDs for safety). Just open them in Zoombrowser as per usual.
Exposure compensation (-/+ 2 stops) is possible with RAW files - I use Breezebrowser, so don't recall excatly how you do this in Zoombrowser, but there is a way. Mind you I wouldn't recommend using the full 2 stop range - quality will suffer, but you can certainly do 1 stop with no apparent ill effects.
A real plus (in my opinion) of RAW files is that overtime, processing software imporves. Its nice to be able to go back to the unprocessed original and run it through the upgraded software - or to try a new technique.
Colin K. Work, Pixstel