I have been shooting RAW and JPG on my 5D Mark II. I notice when I down load onto my computer the two images are different. The RAW image is more Bland and light. the JPG has more contrast and saturation. Is this normal or do I have a setting wrong in my camera?
Depending on the program you use to edit your RAW-files, this is normal. Only Canon´s own Digital Photo Professional reads camera settings directly, other programs use their own engines to convert the raw (even preview) images. What program do you use to convert your raw files?
Raw is digital negative, that you can use to create any desired color curve, contrast, white balance etc. JPG is out-of-the-camera, in-camera-processed image that has most of the image information gone down the drain with in-camera jpg-conversion.
Raw is unprocessed, therefore it would be as you described, above. You can change the mode in the settings for different emphasis, or set your own. I prefer starting with the raw image, using Canon's Digital Photo Professional. However, downloading the right codec for your raw files allows you to work in Photoshop and process the images using Adobe's settings. Working from Raw gives you more controll over exposure, white balance and saturation. I've also noticed that it retains more image detail in the over and especially the under exposed areas of your photo.
This is typical. Default in-camera processing increases contrast, saturation, and sharpening. You can do the same in raw processing if that's your flavor.
I have the original 5D and use Photoshop Elements, along with the Canon bundled software. When I shot RAW and JPEG, I could NOT notice a difference. The "blandness" you are seeing is basically raw data, unprocessed by the camera. Just like the camera's light meter is set for an "average" lighting and doesn't make creative choices, the JPEG format also "averages" the color profile--you can't shoot B&W in RAW. Shooting in RAW give no "processing" which gives you freedom to make more creative choices.
If you use Canon DPP for your raw processing you can choose the same picture style as you have set for your jpegs in-camera, and it should look the same. If you are using other processing software the original default settings probably won't give you the same, but you can save new default settings that are more to your liking.