As Tom said the picture style is only affecting the embedded JPEG preview image if you are shooting RAW. It makes zero difference to the RAW data, but as has also already been mentioned that embedded JPEG is used to generate the histogram that you see on the back of the camera. By using a high contrast, high saturation picture style you can make the camera show overexposure warnings, and push the histogram way over to the right. Pulling the exposure back so that you don't get those indications can lead to you underexposing the RAW image data by up to two stops.
To get around this I shoot using faithful, and then turn both saturation and sharpening down to -4, with the other two options centered at 0. Of the factory styles, and in camera processing options this is the one that brings you closest to having a JPEG that matches the RAW data. I think the cinestyle picture styles that are available take this even further, by using an almost linear contrast curve too, since it minimises the processing baked into a video file, where you don't have the option of recording truly RAW sensor data.
In addition to the picture style, the WB can also have an affect on the JPEG data that can skew the histogram and blinkies. If you want the absolute maximum in similarity to RAW data and histogram, then you need to use what they call UniWhiBal. This sets the camera up so that all of the WB channel multipliers are 1, hence unity white balance. If you use Magic Lantern then that will allow you to set UniWhiBal as an option in the menu. Otherwise you have to set it by using a custom WB setting, using an image that is completely over exposed. I normally shoot a second or two at max aperture and ISO 100 in daylight for this. When you select it for the custom WB it will say there is a problem with the file, but you just ignore this.
UniWhiBal is very good when combined with the picture style settings, but it does cause the preview image to look bright green. It's not a problem though as long as you set up your conversion software defaults to be either Auto, or one of the other presets. If you use Lr, once it is imported it will just show up as normal then.
If you want to pre cull before importing into Lr, but want to use settings that will optimise your histogram etc matching the RAW data, I would maybe suggest using Fast Raw Viewer. It's really quick for culling, but importantly it uses the actual RAW data, not the preview. This means that you get all sorts of advantages, such as true RAW histograms, and default conversions that you can tweak. You can even make some corrections, and add stuff to the metadata, and FRV will then write it to an .xmp file that Lr will read during the import, and incorporate into the catalogue.