This often depends on how you originally import. Most RAW files include a JPEG preview image embedded in them. You have a variety of thumbnail options when importing, including 'Embedded & Sidecar'. The JPEG preview will often look different than the unprocessed RAW file, and when using 'Embedded' thumbnail processing, the embedded JPEG thumbnail will be used as the initial thumbnail image. When you select an image, a true preview is regenerated from the RAW data, and that will usually look different as it is unprocessed data.
There is also the 'Standard' thumbnail generation option (as well as 'Full'), which will basically use the embedded or sidecar thumbnail first, then as part of the import process, automatically generate new thumbnails based on the RAW data. You will see your thumbnails change as the import process progresses, as thumbnail generation is slightly lazy compared to the initial import.
The difference should be expected in most cases. Camera JPEG generation usually applies some processing based on a selected tone curve, and obviously does some compression. Between the processing and the lossy compression, the appearance of JPEG thumbnails will generally look different than unprocessed RAW images. Nikon cameras may be "more affected" by this simply because of the kind of processing and tone curves they apply to their JPEG thumbnails. Technically speaking, a JPEG is not an accurate representation of what your camera actually captured....where as RAW would be.
