I have seen a lot of claims that the oils become rancid when nuts are roasted. I haven't seen any evidence to that, but I prefer soaked, sprouted, dehydrated nuts. There is a brand BTR (Better than Roasted) that soaks organic nuts and dehydrates them, and they ARE better than roasted. Their texture almost seems roasted - more crisp in a way, especially pecans. The hazelnuts are an exception - not so good, and I prefer raw brazil nuts for taste, but all of the other ones are great. It takes all of the bitterness out of walnuts, the pecans are divine, and the soaking helps remove some of the phytates and anti-nutrients.
raw nuts will likely have at least some of the following advantages:
freshness and quality: in general, raw nuts are more of a speciality product and having less turnover, are stocked / bought in lesser quantities by merchants
less fat oxidation and mycotoxins / mold when in the raw state, especially the closer they are to harvesting (cashews and peanuts being exceptions, and not recommended for eating in any state due to mold issues)
can be soaked, sprouted, roasted, or dehydrated at home with better quality control and addition of your preferred oils and salts
some issues with roasted nuts could be:
roasted in rancid or mechanized seed oils, often at very high temperatures
stored for long periods of time
if flavored, "dry roasted", or otherwise treated they can have high sodium content and contain other mystery ingredients like MSG and "natural flavors"
I have found Living Tree Community Foods, Natural Zing, and Nuts Online to be excellent sources for quality fresh raw organic nuts