From my experience, Capture NX is a photo editing software more on the likes of Photoshop whereas Lightroom is photo management software.
I use Lightroom, Photoshop and Capture NX. Lightroom helps me organize my photos and due quick edits. It is great for cataloging and finding photographs. It does well for the quick edits. I also use Picasa. I have a hard time using a single program -
When I shoot raw, I use Capture NX to make my "raw" adjustments. It also has the U-Point technology. From Nikon: "CaptureNX2 poweful tool for quick and easy photo editing software lets you make intuitive photo enhancements"
I also use Photoshop for editing and enhancing my photos and Lightroom lets you open the photos with external programs.
If I had a choice between Lightroom and Capture NX, I may go with Capture NX for the editing and raw capabilities. I would use a free program as Picasa from Google to help organize my photographs and do quick edits. For free software it does a pretty good job. I would not do the same for Photoshop as I would take that hands down over both.
I only sprung for lightroom 1.x - I understand that 2.x has some improvements, but I can only give you my experiences with 1.x.
Did you look at the Capture NX
Tutorials? They may help you see what the software can do.
I am using Capture NX 1.x - I didn't spring for the upgrade.