I shoot in RAW plus medium fine JPEG.
Earlier, I shot in RAW plus large fine JPEG, but I realized that the JPEGs were only used for generating quick for-the-web conversions to smaller sizes, while I always use the RAW files for more serious use.
As to shooting with RAW: do it from day one!
I've mentioned this in another thread this summer or autumn:
I was the best man in a wedding, and I wanted to have some pictures of the couple as well as the rest of us. Running around with one arm in a cast and a big camera around my shoulder didn't strike me as the proper way to behave as a best man, so I handed my camera to a friend.
The friend had some technical problems with the camera in program mode (P) or aperture priority mode (Av), and switched to full auto (green rectangle) instead. Several shots had colour casts in them due to difficult lighting, as well as exposure difficulties. These were unrecoverable because in full auto, the camera only shoots JPEGs. So, a dozen or so shots were simply unusable, so much for those memories ...
If the images had been taken in RAW, they would have been recoverable -- at least to some extent -- and the memories would have been there.
So shoot in RAW, and stay away from any other settings than: P, Av, Tv, M and A-DEP