Picture styles are useful for a couple of things...
First of all, it's obvious that RAW has far more latitude than jpegs, as well as a color space much wider than adobe RGB... however, the image preview on the back of your camera and the histogram it displays is based off of a jpeg preview filed saved along-side the raw file.
What this means is that when shooting RAW, even when I set the camera to use adobe RGB and set the picture style to "faithful", it still doesn't preview the full dynamic range of the camera. If my whites are just barely clipping, I know that I still have about a stop of highlight headroom, so it's a good idea not to use any noise reduction, tone enhancement, contrast-boosting options in the camera as it won't be a good indicator of what you'll see on the computer.
Another use is for video recording. Since video on the 5D2 is recorded as 4:2:0 mpeg2, the image quality is equivalent to a small compressed jpeg, so it's important to get the "look" of the footage right inside the camera.