This example really shows the power of raw. The thumbnails below are 100% crops out of the original images (if you click on the thumbnail you will see 300% enlargements). The first shot was taken at 0EV and then reduced to -2.0 EV with Nikon Capture. I reduced -2.0 EV for the purpose of this example and to make the differences more clear. The sky is very smooth with a red channel standard deviation of only 1.77 in the blue sky (measured in a 100x100 pixel zone). Compare that to the very noisy sky of the same scene shot at -2.0 EV in jpeg mode (red channel standard deviation of 3.79 in the blue sky). This is because when we shoot at -2.0 EV in jpeg mode, the signal to noise ratio of the CCD gets worse. The RAW image was shot at 0 EV where the signal to noise ratio is much better. So reducing the EV with Nikon Capture is much better. As an additional bonus, notice that detail is lost in the windows of the building due to jpeg compression, which is of course absent in the RAW images.
Conclusion: a key benefit of shooting RAW is that you can adjust the EV later on your computer. Moreover, the result will be much better than an EV reduction at the scene in jpeg.