Active D Lighting affects raw files as well as jpeg as it takes place during shooting, i.e. the raw file gets "processed" in camera. Active D lighting affects the exposure and it is likely that with it active many shots could be underexposed. My understanding is that it attempts to lift the shadows and lower the highlights (bit like applying an S curve), but the nett effect is often a drop in exposure. I switch it off and rely on blinkies and histograms etc ... I read something by Thom Hogan that explains it much better than I can, but can't find it just now.
If you are using Capture NX2 it will correctly apply the effect to the raw file during conversion, but I believe (and would doubt) other converters do. Active D Lighting is really designed to be used in high contrast scenes.
