Lightroom/RAW help

So you people have converted me to using RAW instead of JPEG...so I'm using the new Lightroom to import/manage my new photos and I have some questions.

Should I import as PEF's or DNG? Because I tried my first batch as PEF, did my exposure changes in Lightroom and then tried to crop and save as JPEG in Photoshop but the PEF's I was working with weren't letting me save into any web-ready format. So yea... should I import as DNG's and if so will I be able to save as JPEG's after switching to photoshop?

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