I would recommend that if you really care, get the source for dcraw.c from:
http://www.cybercom.net/~dcoffin/dcraw/
where you can see the source code to decode the RAW format from 197 different cameras, all in one relatively small C file. This includes Canon's CRW, CR2, Adobe DNG, Nikon NEF, and others.
Camera makers offer JPEG files for general use. This will satisfy many people, and is typically small because of the lossy compression used (and that JPEG is actually quite good at what it does). More sophisticated cameras offer more choices in the amount of compression used. For those people that want more than JPEG, there is RAW format, which pretty much means the verbatim output from the sensor, which implies lossless compression. I don't think there is a big demand for intermediate forms between high-quality JPEG and loss-less
raw data (I'm not saying I don't want it or that there isn't
any demand, but give RAW already there isn't a big enough need for, say, lossy 12-bit to warrant adding it).
If cameras supported JPEG2000 creatively we could see more of a spectrum from the 8-bit lossy like JPEG (but with higher quality for the same size) up through 10-16-bit lossless data, all using one algorithm. But JPEG2000 seems to still be impractical for real-time use at the bandwidths and costs of this application.
Some manufacturers are providing very poor solutions, like the above-mentioned Sony that doesn't even compress the output at all for some reason. It looks from dcraw that Nikon's compressed RAW format uses LJPEG. Canon used to use their own quite simple, but reasonably effective method, then switched to LJPEG. For their DNG, Adobe also chose LJPEG (lossless JPEG -- a completely different and unrelated algorithm than the lossy JPEG most people know of).
Lossless JPEG has the big advantage of simplicity versus some other options (JPEG2000, CALIC, etc.). It does surprisingly well, and I don't see any other practical algorithms that would be a big step forward (but I don't make cameras). Some things could be done to improve it a little, but probably not worth making something non-standard.
As a user of a few different Canon cameras, I would like to say that I love having the decent sized JPEG preview image in the CR2 files. With the old .TIF raw files like the 1Ds makes, I always do RAW+JPEG because the thumbnail is unusably small.