The name for it is Expose To The Right (of the histogram, or "ETTR"). So you overexpose the overall image, such that it'll look washed out when you look at the Raw file. (BTW, it only works if you shoot in Raw, otherwise, don't do it). Be careful not to blow out any "important" highlights. (Ignore small, unimportant highlights that are blown out). Turn on your highlight warning in the preview screen, so they'll blink to show you any blown out highlights.
When you do your Raw conversion, you bring the levels down to something close to what your eye saw. The Raw file you created will have more digital information than a "properly" exposed or underexposed file. By bringing levels down, you reduce the chance of noise, while increasing levels (trying to raise shadows) increases noise.
The shot below was taken at +4/3EV, taking into account that the details are all in the shady side of the bunny. Also, I get more fur detail:
Bunny Close Up by
dcstep, on Flickr
Shooting in Raw gives you many more post processing alternatives and will generally give a better result than jpegs out of the camera. Shooting Raw is the first step to improving your photography and ETTR is a next step.
Dave