Toasting does change its nutritional value, but only minimally as long as it's not TOO toasted. I think the toasted kind you buy at the health food store is just fine.
The reason for toasting it is that it tastes better. Also, raw wheat germ is prone to rancidity so you have to be more careful. I read in Laurel's Kitchen that it's best to get wheat germ that is toasted where it is milled, to ensure freshness.
I have bought raw wheat germ and toasted it myself. Yes you can do it in a skillet on the stove, or on a tray in a toaster oven. Toast at 300 degrees and watch very carefully and stir frequently - it burns fast! This is why I prefer to buy the toasted kind.