Exposure adjustment the main benefit of editing NEF vs JPGs? and ACR vs LR

So I FINALLY got cs6 and was able to open up and tinker with a NEF file in ACR. I noticed an 'exposure' adjustment and was quite pleased as previously I've had to mess around with levels and curves to make tweaks where exposure could've been better.

Right off the bat, first impression is that this is the main benefit of working on NEF's in ACR - I don't think there is anything quite as powerful as that in Photoshop----right? I do understand that the NEF is all the original recorded data so guessing that you have more 'room' to do stuff as opposed to the compressed JPG being edited in photoshop.

My first stab at editing in ACR - see below for original image.

Photoshop jpg edit on the left and ACR NEF edit on the right, below:

I guess, the photoshop edit isn't too bad but I think the ACR edit took WAY less time. Something about the ACR one appears a little more true to life or natural looking. I like it when things don't look to...'edited' I guess. I used some action on the photoshop one (probably because I was handicapped to some extent editing in photoshop). So glad I took the plunge to editing NEF.

A few more questions-

1. Do you use ACR or Lightroom? I just got Lightroom so should I bypass ACR? Wondering how they stack up / differences?

2. Apparently I can edit my adjustments to NEF files once I have saved them out as DNG from ACR...pleasant suprise since I kept hearing how you couldn't 'edit' an NEF and I understand that....so apparently you can come back to DNGs? And do you save a DNG for each NEF you edit?