Choosing a natural fragrance will primarily depend on what you will be using it for, your price range, and whether or not you have any allergies to any particular scent. There are various types of fragrances which may be considered natural, but different ones are good for different uses. For instance, essential oils are great for using in a diffuser to add scent to a room, or for adding to bath water. Other commercial products might be used as perfumes or to add fragrance to cleaning products and other mixtures.
One factor you should consider when shopping is what you consider to be a "natural fragrance." To some, this might mean essential oils taken directly from flowers and other scented plants. To others, it could mean something that is made from essential oils combined with other ingredients. Still others may consider anything without harsh chemicals to be natural enough. Your own definition of a natural fragrance will dictate where you shop and the price you can expect to pay.
If you'll be looking for real essential oils, the best places to shop are online and in natural health stores. They typically have a decent selection of various fragrances to choose from. If you're just going for something that smells nice, you can ask to sample each scent while you're in the store to see which ones you enjoy. If you'll be using the oils for a particular purpose, such as relaxation or energy, you should do a little research ahead of time to determine which fragrances would work best for you.
Price is another factor you'll probably have to consider when choosing a natural fragrance; pure essential oils are typically more expensive than other scents. If your budget doesn't allow for this, you will probably more limited in your selection. You should make out a budget before you begin shopping to make sure you know your price range, and so you can narrow down the stores and types of scents you should begin shopping for.
You should also determine what you'll be using the natural fragrance for before purchasing as well. Some forms of oils and other mixtures might not be suitable for use on the skin, for example. Narrowing down your search to products that are tailored toward your unique needs will also help speed up your search. To choose between scents, smell each one, either from the bottle directly or via a sample. If you're able, it's also a good idea to spray any perfume onto your body and wait a day before buying to determine how long the fragrance lasts.