I have a Nikon D3s, only take raw files from the camera, and keep active D-lighting on most of the time.
The purpose of ADL is to avoid blowing highlights that are too small or off-target to be otherwise metered. This is a common problem with digital cameras, especially point and shoots.
Imagine a scene where most of it is in open shadow, but someone off to the side is wearing a white shirt and sunlight happens to hit the shirt and little else. The metering system will adjust the exposure so that all but the white shirt is exposed reasonably. However, the white shirt will be one saturated blob of white. You won't be able to see any of the folds of the cloth, for example. Such blown highlight areas make a picture look bad and are annoying to look at. It can make observers judge the photograph as "poor", possibly without being aware of why. ADL looks for such highlight areas and turns down the exposure so that they are captured just at the end of the sensor's range.
So why wouldn't you always do that? Because the downside is loss of discrimination in dark areas. With a very high dynamic range scene, you end up choosing between splotching out the light areas or splotching out the dark areas. The reason I leave ADL on most of the time is that splotching out dark areas is usually more acceptable, and the D3s has a amazing sensor with best in class dynamic range. Put another way, with the D3s I usually don't have to choose. I can not splotch the highlights, but still have enough brightness resolution in the dark areas to make a good picture.
You don't want to go too far with this. While you don't want to blow out whole bright areas, it's fine to blow out small reflection from polished metal and the like. Those are many many times brighter than even the medium dark areas of most scenes, and today's sensor simply can't handle that. Fortunately, such blown reflections and the like don't make a picture look bad.
Regardless of all this, you still have to take care in post processing. Only you can decide how bright you need to show detail, after which it's OK to saturate. ADL captures the real data in the extra bright areas so you can make this choice.