Make sure you turn off the "advanced" dynamic lighting modes in your camera. What they do is simply underexpose your image and then correct for that in the jpeg. Nikon software knows how to read the tag about this but Lightroom doesn't and so shows the image darker.
Many thanks! I was excited to use that feature on my camera but didn't realize how it actually worked and obviously doesn't really work with Lightroom.
On the lowest setting ADL may get you some advantage as all the processing is done in camera on the lowest setting.
On all the other settings, it is a two-step process (one in camera, one in software) where only Nikon's software does the second step. Without the second step, you get underexposed images.