This question is more tricky than you think. Let's look at the SHOOTING MENU items, in particular (so tricky that I got a few items wrong in the original post, now corrected):
Applies to NEF (raw) and JPEG:
- Storage Folder
- File Naming
- Image Area
- Active D-Lighting (deceptive: exposure changes in raw, but otherwise data is untouched)
- Long Exposure Noise Reduction
Applies to NEF (raw) only:
- NEF (RAW) Recording Type
- NEF (RAW) Recording Bit Depth
Applies to JPEG only (but read note at end):
- Image Size
- JPEG Compression
- White Balance
- Picture Control (and all the sub-components, such as Contrast and Sharpening)
- Auto Distortion Control
- Color Space
- High ISO Noise Reduction
But here are the two "gotchas" you need to be aware of:
- Embedded JPEG. All raw files have an embedded JPEG in them, and the JPEG-only settings are applied to that embedded file. That embedded file is what you see on the camera's LCD! Moreover, that embedded file is what is used to calculate histograms and highlights displays on the camera. Since many of those JPEG settings can impact "exposure," you can get misleading exposure information from the camera compared to the actual data being stored in the raw file. See my comment about UniWB.
- Nikon's Converters. By default, Nikon View NX2 and Capture NX-D pick up all the camera settings and use them in a raw conversion. View NX2 doesn't have much ability to override some of those settings, while Capture NX-D has a funky way of modifying them (to change a Picture Control setting such as Sharpening you have to open the Picture Control Editor, which isn't obvious from the UI).
I highly recommend that if you shoot raw that you at least set White Balance and Picture Control settings (and consider which Color Space you're using). If for no other reason you'll get more accurate histograms and highlights displays and you'll have a reference image (the embedded one) that tells you what Nikon thought the scene looked like. It's all much more complicated than even this answer suggests, which is one reason why I write books on these cameras and try to explain all the subtleties and nuances that sometimes catch people unaware.