CHDK "raw" is just a dump of the sensor frame buffer, so it ultimately has the same image data used to create any image from the shot.
If your camera has native raw support, it's raw almost certainly includes the same data at equal precision, but saves it in a format that is more widely understood and includes metadata such as exposure settings etc. It is probably more convenient to use the native raw format. CHDK dng does approximately the same thing, but is considerably slower and probably not as well calibrated.
Conclusion: if your camera supports native RAW, use that, unless you have tools that work better with CHDK raw or DNG. The quality should be essentially identical.
The debate you may have seen regarding CHDK raw vs. "real" raw may actually be P&S sensors vs. DSLR sensors.
CHDK cameras are either 10 or 12 bits per pixel (whether shooting native raw or CHDK raw), and the 12 bit ones don't even have a full 12 bits of precision. DSLRs are frequently 14 or more bits per pixel. This means that the amount of dynamic range available in a DSLR raw is much greater.