An in-camera jpeg has noise reduction applied as part of the processing that is intended to provide a final copy for those who do not want to do any post-processing.
Shooting RAW, all the data is preserved including the noise recorded by the sensor. In post processing you are able to control the amount of noise reduction that you want to apply and even apply different amounts of noise reduction to different portions of the image.
Noise reduction is always a trade-off between reducing noise and losing detail in the image. With in-camera jpeg, the amount of noise reduction was already determined for you. With RAW you have a choice as to how much noise reduction to apply for each image based on how objectionable the noise is and how important fine detail is.
You can open and process your jpeg images in LR too!
