Picture Styles and RAW files
If you've set your camera to save JPEGs and apply a Picture Style in-camera, the Style is "baked into" the image – so for example if you've applied the Monochrome Picture Style, the image will be mono and its colour information will have been discarded. If you're shooting RAW, however, the RAW files will preserve the full range of data captured by the camera. This means that if you've applied the Monochrome Picture Style and open the RAW file in Canon's Digital Photo Professional (DPP), it will open with the Picture Style applied but you can remove this, reapply it, modify it or apply a different Picture Style, as you wish, at any time. (Other RAW processing software will ignore the Picture Style setting and open the RAW file using its own colour settings. You can always perform your own mono conversion, but you won't get the convenience of Picture Styles settings even as a starting point.)
This means that if you shoot RAW, it's up to you whether you apply Picture Styles in-camera or in DPP afterwards. Applying (for example) the Monochrome Picture Style in-camera is a great way of assessing whether you're getting the look you're after, with the option to fine-tune in DPP or even revert to colour and convert manually using your preferred conversion method to get exactly the effect you wanted.
Picture Style files downloaded from the Canon Picture Style website which have the .pf2 or .pf3 extension can also be used with DPP and EOS Utility. The latest files created by the Picture Style Editor will be .pf3 format. Visit the Picture Style website to find more information about Picture Styles.
In DPP, it's even possible to apply Picture Styles to RAW files taken with earlier EOS digital models which do not have the Picture Style function.