Lightroom, and the digital darkroom in general, has lots of ins and outs and small details here and there. One of those seemingly small details is the DNG format. I use the DNG format and lots of professional photographers also use the DNG format. But what is it? It is simply a RAW file format. DNG stands for Digital Negative and was created by Adobe as kind of a "standard" RAW file. And well, I'll just let Adobe tell you what the benefits are. The information below is taken directly from their site.

For photographers:

DNG format helps promote archival confidence, since digital imaging software solutions will be able to open raw files more easily in the future.
A single raw processing solution enables a more efficient workflow when handling raw files from multiple camera models and manufacturers.
A publicly documented and readily available specification can be easily adopted by camera manufacturers and updated to accommodate technology changes.

So for me it's a simple step to create the DNG file when I import and adds a little insurance. Let me know in the comments below if you have any questions!