The MacOS X feature that's responsible for showing you previews in Finder, Spotlight, standard file dialogs, etc., is called QuickLook. QuickLook needs an importer for each type of file that you'd like to preview. For standard types like text files, JPEG and PNG images, sounds, and others, the system has built-in QuickLook importers. In other cases, applications provide importers for their own files. You can find the importers installed on your system in the following locations:

• /System/Library/QuickLook/: Importers provided by Apple as part of a standard OS X installation
• /Library/QuickLook/: Importers installed on your machine available to any user. This is where a 3rd party application would normally install an importer.
• ~/Library/QuickLook/: Importers installed in the current user's account (the ~ indicates the home directory of the current user, e.g. /Users/johnnyappleseed). Importers installed here are only available to the current user.

It sounds like Adobe provides an importer for DNG files, but perhaps theirs has a problem or perhaps there's a newer version you can download. (I don't use LightRoom so can't offer firsthand advice there.) I'd start by checking Adobe's site or pinging their support people or forums.

It's entirely possible for third parties to create QuickLook importers if they know how to read some file type. A quick search turned up DNG Suite for MacOS X which might be worth a shot. There may be others as well.