In reply to Toerag:
> That's what I thought, but I had a whole day's worth of shots taken outdoors when I'd left white balance set to indoors ruined. It's as if the exposure was all screwed up when exposing to the right and everything came out super over-exposed and unrecoverable. I have blinkies set on my camera to warn of overexposure and they never showed. Maybe I have a fault with the camera, I've not tried replicating it.
A possible explanation for this is that that the in-camera histogram may be being calculated from the .jpg that is displayed on the camera screen, and the blinkies may only be based on one channel of that, so the white balance could well affect whether the blinkies flag up overexposure to you or not.
For example, if the blinkies turn on above a certain theshold in the green channel, but your jpg is coming out very blue because you have a tungsten white balance set, you could be blowing the blue by a mile in a shot with a clear blue sky, and the blinkies wouldn't tell you.
How the blinkies are triggered and what the camera calculates the histogram from will vary hugely from camera to camera, so this may or may not be the explanation for you.
Regardless, I find it is always useful to have the preview image reasonably close to what I want the finished image to look like, otherwise I could stop shooting thinking that I've got what I want, only to be disappointed when I look at my pictures on the computer at home. Most digital cameras will do a reasonable job on auto white balance, so I tend to use that as a starting point.
For general tips, as others have suggested, it can be useful to have a default setup that you reset your camera to after every time you finish using it - mine goes back to "P", ISO 200, continuous high frame rate, single shot AF on the centre point and auto WB. I've missed shots that could have been great when I've seen something interesting, grabbed my camera and then realized I've left the shutter on self timer, turned the AF off or left the ISO, aperture, shutter, EC or whaterver on something crazy from that last time I used it.
As far as RAW vs jpg debate goes - a big advantage of shooting both is that you can give people jpgs straight away and tinker with the RAW later. When you go away with your mates and shoot 500 images, they can get a bit frustrated if you want to go away and tinker with the 20 best ones to make them marginally better and put them on flickr a year or more later. I've been guilty of this many times and still have lots of unedited RAW images on my computer that I never saved jpgs of because I couldn't see why I would want them.