If you shoot in RAW there is no colourspace attached and you can choose between sRGB, Adobe RGB (aRGB), ProPhoto and dozens of others when you process the RAW and convert to TIFF or JPEG. In other words, the RAW file is unaffected by the colourspace setting on the camera.
Whether you should use sRGB or aRGB generally is a hot topic. aRGB has a wider gamut which includes colours - especially intense cyans and magentas - which are lost in sRGB, but (and it's a big BUT
) these colours cannot be displayed on most monitors, nor on the web or in any application that is not colourspace aware. That means just about everything except photo editing software. The extra gamut may also not be usable by commercial printers.
The only real reason for using aRGB is if you have a good photo printer which can reproduce the additional colours, assuming of course that your photo actually contains these colours. If you do use aRGB, you must remember to convert images to sRGB for displaying on the web or in applications such as Word, etc, or the colours will not be accurate.
There are many other arguments too, and it's fair to say that many serious photographers prefer aRGB. If you want to keep everything simple, however, stick to sRGB.
