Does picture control still matter when you shoot RAW?

It depends on the software you're using, and how you're using it.

Also: the JPG you're seeing on your camera's LCD display are processed using your in-camera settings.

Only if the software you use for RAW conversion understands the picture control data stored in the file. If you use a Nikon camera, the programs ViewNX2 and CNX2 both understand the data in the NEF file and will render the image according to the camera settings. Other RAW converters may or may not do the same.

In any case you can render the RAW file any way you want after the fact.

No, but it never has.

I shoot 99% raw, but I have my contrast set to the lowest possible setting, so that I can see more of the histogram in the shadow end. I find a low contrast also helps me to see the shadow detail in my playback. Of course this setting is of no consequence once the image is in the computer.

For myself, the title does not say it all. I attempt to get things right in camea and use the soft ware for being creative not "fixing" something that should never have happened in the first place.

However, based on the other comments perhapes I am misunderstanding the question.

It matters only if you consult the histogram while you are on a shoot. The picture style and the indivdual settings (contrast, brightness, sharpness etc) all impact the histogram. I use the most conservative picture style and dial down contrast quite a bit. That way I can better judge if I get clippings on either end of the histogram.

Edit: Sarah beat me to it:-)

Ann: Presume you've "got it right" in the camera by perfectly nailing the exposure. If you're shooting straight to JPGs, the camera still has to do a lot of processing to the RAW capture it's actually making. It will be setting a certain amount of sharpening, contrast/curve adjustment, saturation, etc. Different "picture modes" impact these straight-to-JPG settings in different ways, no matter how carefully you've exposed the image.

Even if you stick with shooting RAW, the camera is still using those same settings to create the image you see on the camera's display. That is a JPG, regardless. How it looks on that little display is based on how you have the camera set up to process JPGs, even if you have no interest in JPGs as output. Likewise, the RAW file has an embedded, low-resolution JPG built into (for thumbnailing, etc) that is also based on in-camera processing of the JPG file.

So, if you care about any of that, then the in-camera processing settings do matter. Likewise, if you use a piece of RAW-conversion software that knows how to read that embedded data (as Lorne mentions, Nikon's own software is quite aware of those settings, which are recorded in a RAW file as meta data), then the in-camera settings can be used as a default starting point when you go to process the RAW file. Other software may have no idea about those features in the RAW file, and go with defaults set up by the software's authors ... thus making the in-camera settings quite irrelevent, if you're ignoring the pre-made, embedded low-res JPGs.

Which takes us back to my first response. This all depends on the software you're using, and on your workflow. But the RAW file itself - the data that is the real image - is not impacted by the in-camera processing settings.

I attempt to get things right in camea and use the soft ware for being creative not "fixing" something that should never have happened in the first place.

The "picture control" is more akin to changing films and not to "fixing." However, experienced photographes know that you sometimes have to shoot in situations where there is no choice for "getting things right in the camera" and that has been true whether digital or darkroom is used for post-processing.

Picture styles have no effect on the raw data. If you use the proprietary camera raw converter, it may use those settings to affect the rendering of the raw. But the raw itself isn’t affected. Any 3rd party converter will not understand nor have any way to use that picture style metadata.
As for the camera histogram, it has little bearing on the raw data either. If you are after optimal exposure, using the camera histogram when shooting raw is basically producing under exposed raw data. You have to exposure for the raw differently than you would for the JPEG. Optimal exposure for raw is about getting the best signal to noise ratio which results in data with less apparent noise.
This might help:
http://www.digitalphotopro.com/technique/camera-technique/exposing-for-raw.html
And in terms of some cameras (my Canon 5DMII as one example), you can actually produce LESS noise shooting at ISO 800 than shooting at ISO 100 assuming you practice correct ETTR. Seems counter productive but it is a fun reality check test. The camera histogram will look like dodo!