I always shoot in RAW (both above and below the surface) and do my "post production" in Lightroom. As noted above, it means an extra workload when doing post production, but the finished product is inevitably a better one. No matter how good the in camera colour correction is, you will do it better when you do it yourself.
For me, I would rather do that extra work and have someone look at my image and go "WOW!" than to share a pic that the reaction is "Meh".
Having said that, I always try to get the best possible result in the camera and try not to rely on the computer to fix a substandard image. Understanding the effects that the ambient conditions, Shutter Speed, Aperture and ISO have on light (and by extension, on the image) have is essential to getting as much as possible "right" in the camera. Reading and online research can only get you so far. Eventually you will need to get out and practice. There is now substitute for knowing you gear and for having fun or for the satisfaction of looking at the LCD screen on your camera after the dive and exclaiming "I got it! This is the shot I was after!".