Roasting the bones gives them a deeper flavor, like caramelizing the natural sugars, which will result in a deeper flavored stock. It's kind of like the difference between a raw hunk of prime rib, and one that has been roasted slowly in the oven for a few hours. Even if you like your prime rib rare, I don't think it would taste too good uncooked.
And bones can add a lot to the flavor of meat. There's a lot of stuff in them, gelatins, marrow flavors, natural sugars and things that seep into the meat while cooking. This is part of why a t-bone steak tastes so good.
I'm using a mix of bone types: marrow bones (from the legs), ribs, and neck bones. There's about eight pounds worth, all told. The ribs and neck bones still have a good amount of meat on them, which should also add nice flavor to the stock. I roasted them for close to two hours in a 400 degree oven.
Roasting the carrots, onions, and celery ribs also caramelizes the sugars.
After putting all the bones and veg in the stock pot, I poured off the accumulated fat from the roasting pan and then deglazed the pan with some water, and poured the deglazing liquid into the pot. Deglazing means dissolving all the caramelized and browned good bits that have stuck to the bottom of the pan - no sense in wasting all that flavor! I could have used wine - alcohol is a great deglazing liquid - but I didn't want the wine flavors in my stock this time around.
Yep, the bones go into the pot. The next step in making stock is to cover everything with water and let it all slowly simmer for several hours. All the flavor that is in the bones and veg will slowly leach out into the water, creating stock. And this is something that needs to be done slowly. There are impurities and oils that will also leach out of the bones, stuff that isn't wanted. If the water was let to boil, the impurities would incorporate into the stock, creating off-flavors. However, since the impurities are lighter than water, they will float to the surface during the simmer, where they can be skimmed off.
The whole process of making stock isn't all that labor intensive, but it does take time.