Well, some manufacturers, I think, are catering to the Ken Rockwell fans who like supersaturated colors, and I'm glad Pentax isn't one of them. I don't like Pentax's Bright setting at all, but I also think the Natural and Portrait is often a bit too bland. So I fiddle with the JPEG settings every once in a while and currently I have it set on Portrait with +1 on Saturation, +1 on High/Low, and +2 on Contrast. And that's it.
The images below are all taken as JPEGs from my K-S1. I have even better JPEGs from my K10D but that's kinda cheating (CCD just gives better colors and contrast right off the bat). These pictures below only had +1 on Saturation and +1 on Contrast, if I remember correctly. I might have been using +1 on sharpness at the time, now I don't anymore.
By the way, I will shoot RAW usually, if it's just me shooting for my pleasure. Whenever it's a family thing, I have to shoot JPEG - the wife demands it so she can share it on facebook at a second's notice
Even then, if I do take a picture I might want to work on, I always hit the "Save as RAW" option.