You can shoot RAW with any mode of the camera with the exception of the following.
Natural + Flash combo - Interestingly enough, if you have the camera set to RAW and you hit this setting on the dial it will automatically change to jpg. All the others give you a warning and you have to set it jpg in the menu to use them.
I am assuming these modes don't support RAW due to the low internal memory of the camera and that it can't buffer that many RAW files due to their size. Write speed would also be a factor here.
Fuji S6000fd - R.I.P.
Fuji HS20 EXR - Current