Hi there, I used to be a longtime hair dye junkie myself before I cut off my dreads last year. I think my hair has literally been every color imaginable.

Anyway, as it was growing out this past year I really enjoyed the more maintenance free and cheaper products from not dyeing my hair. Like you, I considered those natural dyes from the health food store. I even bought a box of herbatint I do believe or something comparable to that. After looking at the long list of ingredients I really thought that calling it "natural" was a stretch. I think if you look closely at those labels you will find that natural simply means that they don't use ammonia or a lot of chemicals conventional hair dyes do.
In fact you could probably find the same type of ingredients for cheaper in Clairol's herbal instincts, which has some nice color ranges.
Now I don't know this for a fact per se, but it is worth nothing that the only way I could lighten my medium brown hair is to bleach the hell out of it...so if you are looking to lighten hair that is dark, I think you can assume that those "natural" dyes aren't going to do that effectively.
Ah yes, on to henna. What I did was returned my so called natural hair dye and went for the real deal, a block of henna from Lush. Again, this all depends on what color you are going for but the Lush henna offers three different shades...a rouge which I use and is a more vibrant red, a brun which is more of a rich chestnut brown, or a noir which is an almost indigo black. I'm really happy with it. It is a bit messy and pain in the ass. You have to grate or chop the block of henna, then mix it with hot water from the stove, and leave it on your head all day before rinsing it out. To me, it's almost worth it though to have my head smelling like fresh hay instead of chemicals.
Now I know henna has a bad reputation so there are a few things to remember. The lighter your hair is the crazier your color could be. It is typically not recommended for blonde hair because it could turn out very orange. Since my hair is naturally a medium brown, the red comes out more as highlights than crazy carrot top color. It is pretty subtle in my opinion.
There are other hennas out there. I just can't attest to them since I haven't used them before. Lush is more expensive at about $20 a block, but the block can be divided into several different sittings so it comes out costing the same or less than other henna from the health food store. It also smells fresher to me than old dried up henna powder.
Anyway, there's my two cents which got way too long. I can't wait until the cooler weather and I'm going to try the indigo shade myself.