You probably know that shooting in RAW is, for most photography buffs, better than using JPG -- but you might not know exactly why. This image should help. Austin Paz at Peta Pixel decided to give a visual demonstration of the difference between the two. He simply left the lens cap on his Canon 70D and grabbed both a RAW and JPG image of the completely black shot. Then he took them into Photoshop and artificially bumped up the exposure to take a look at the noise. The result, shown in the image above (with the original black images up top) shows RAW on the left and JPEG on the right.
You can see that JPGs have way, way more noise, as Paz notes:
[T]he two look nothing alike -- it's almost impossible to guess that they started as the same image. This is something to consider if you're a JPEG shooter. Your shadows can look relatively inconsistent and discolored if you need to do extra processing. On the opposite end, RAW has a very uniform noise across the whole spectrum.
It's a little story with a very simple moral: Shoot in RAW when you can.