Unless you really, really, REALLY know what you are doing.
Support for DNG is, in most cases, not nearly as large as it is for native RAW formats (NEF, CR2, etc.). If you convert to DNG you are limiting the software that you can use your images with. Also, conversion to DNG is a one way street - once you convert your images to DNG there is no going back to the original image. If you throw your originals away they are gone forever.
Some say that DNG is more "open" and your are guaranteed that it will be supported in the future while other formats may go away and lose support. This is false and I share some words from another thread:
http://forums.dpreview.com/forums/read.asp?forum=1017&message=27277283
What makes you think converters that understand that NEF will not be
around just as long (or longer) than DNG? Consider the knowledge to
read the RAW data from the NEF is already held in this open source
program, DCRaw:
http://cybercom.net/~dcoffin/dcraw/
As long as there is a C compiler on this planet you will be able to
read data from that RAW file. DNG is an open spec but still largely
a product of a single company, Adobe.
One of the biggest problems that I have with DNG is that you have to trust Adobe and their DNG Converter to always do the right thing and always do it right, with no bugs. I'm sorry but there isn't a program on the planet that hasn't seen its share of bugs. And I wouldn't trust anyone to convert my original image files into another format perfectly 100% of the time, all the time. Not to mention that Adobe recently had to pull the Lightroom 1.4 and ACR 4.4 updates because they introduced a bug in their DNG converter:
http://blogs.adobe.com/lightroomjournal/2008/03/important_lightroom_14_and_cam.html
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DNG Conversion Error(Windows Only): With the latest version of the Lightroom 1.4 and Camera Raw 4.4 applications, Adobe has included technology to verify that the image data in a DNG file is unchanged from when it was originally converted to DNG. Unfortunately, when converting to DNG using Lightroom 1.4 on Windows, the application will write an incorrect verification tag to describe the image data. When Lightroom attempts to work with those files in the Develop module, the application reads that incorrect tag, believes that there is something wrong with the raw data and will present an error. Rest assured, there is nothing wrong with the integrity of your image data or metadata. For those that have already converted their files to DNG using Lightroom 1.4(Windows only) we recommend using the DNG 4.3.1 converter to convert the DNG files you’ve created with Lightroom 1.4.
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This didn't actually compromise any image data, but it did make it so you couldn't edit your images in Lightroom.
Unless your camera's native RAW format isn't supported by the application you want to use then I would highly recommend against converting your original images to DNG. And even if your camera isn't supported and you need to convert to DNG for compatibility then I would recommend keeping the original files. There's very little benefit (if any) in converting images to DNG while there are a lot of drawbacks and risk involved.
Dave