You will often hear people recommending shooting in RAW mode when photographing a high contrast scene, because RAW files retain all the dynamic range captured by the camera's sensor (the term 'dynamic range' refers to the contrast ratio in the image).
However, when you take bracketed photos, the combined dynamic range you get from the multiple exposures far outweighs any potential gain in dynamic range you can get from one exposure taken in RAW mode. In other words, bracketed JPEGs work as well as bracketed RAWs for the purpose of dynamic range.
Moreover, your camera's firmware makes several adjustments to the photo, to make it look good when it produces a JPEG file. In contrast, a RAW file contains just raw information captured by the sensor. Photomatix will convert and extract all information available in the RAW file, but will not attempt to 'beautify' the image in the same way the camera does when it produces a JPEG file.
This means that the same photo may be darker and have less contrast when you load it as RAW file in Photomatix than when you load it as JPEG. The difference is more important when you use Photomatix presets that produce natural-looking results (e.g., 'Natural' or 'Interior' presets).
This is why we recommend JPEG when you take bracketed photos, unless you are an advanced photographer, and need RAW files in order to adjust the white balance, apply lens correction or make other alterations before loading your images into Photomatix.