Format for saving opened NEF files?

I recently purchased a D200 and have begun shooting NEF. The advantages over JPEG are obvious. My question, though, is this: Once I open the NEFs in ACR, in what format should I save them in order to go back to them later to work on them in Photoshop? Will I lose anything if I save them as JPEGs? Should I use another format (such as DNG), and if so, why?