Photoshop CS series (expensive) and Elements (decent pricing) has a raw image editor, Adobe Camera Raw (ACR). You can do lighting edits in ACR then save to a variety of formats, JPEG included. This is an excellent way of dealing with raw images.
Nikon ViewNX will convert raw to JPEG. It will only work on Nikon .nef files. It's free. Limited adjustments can be made and it's slow. It probably comes on the CD that came with your camera. You can download it from Nikon's web site.
http://support.nikontech.com/app/answers/detail/a_id/61
Nikon Capture NX is Nikon's image editor for their .nef formatted files. It's very expensive for what it does, really slow and bad user interface. Much better off buying Photoshop Elements.
http://support.nikontech.com/app/answers/detail/a_id/61
There are free command line programs out there. Dcraw is a wonderful program which will convert almost any raw image to a 16-bit per color linear image (no gamma correction which makes it look very strange). It will also spit out a JPEG. This is useful if you are serious about panoramas or HDRI. Stay away from this program if you aren't familiar with command line programs.
http://www.cybercom.net/~dcoffin/dcraw/