Which Nikon camera settings matter when you shoot RAW?

Almost all the settings in a Nikon camera matter when you shoot JPEGs, as a JPEG is supposed to be good enough for immediate use.

When it comes to RAW/NEF files it is a little more complicated. Some settings matter a lot. Some settings do not matter at all. For some settings it really depends. There does not seem to be any exhaustive list of which settings matter and which can be ignored - probably because it is so complicated. The following list is not exhaustive.

Shutter speed is important, as it obviously cannot be changed in software.

Aperture is equally important, as it cannot be changed in software.

ISO is less obvious, but it is also important. ISO is not just a matter of how bright the picture is, but it sets the physical light sensitivity of the sensor. The incoming light is amplified by hardware. When a lot of amplification is needed (high ISO), the system is more likely to introduce noise. Even if my explanation may not be one hundred percent clear, a simple experiment can show that a NEF taken with long shutter speed (much light) and low ISO has less noise than one with short shutter speed (little light) and high ISO.

Long Exposure NR seems to matter. There is no way to undo it even in Nikon software.

White Balance can in theory be ignored, but it is practical to give it a correct value. It is visible to virtually all RAW conversion software, and it can be changed freely in most software. However, some software is unable to correctly adjust bad White Balance, like Picasa or the Finder previews in Mac OS X.

Exposure compensation does not really matter on its own. However, it affects shutter speed and aperture, so it indirectly matters what you set it to.

Active D-lighting is not clear cut. The setting seems to be ignored by Adobe software. At the same time, it cannot be switched off in Capture NX, if you use that software. Anyhow, when you switch it on, it will change images to a somewhat darker exposure by changing shutter speed or aperture, so it indirectly affects the image.

Picture Controls can safely be ignored. They can be changed freely in Capture NX and View NX, and they are not even visible to non-Nikon software like Adobe Camera RAW, Lightroom or Aperture. This is the reason why a black and white NEF file is displayed in colour in Photoshop.