While a very flawed instrument, here is the 'trader's choice' for tracking natural gas itself.

And if one is not interested in taking individual stock risk sorting through the 40,50 natural gas oriented stocks a nice ETF, First Trust ISE Revere Natural Gas Fund (FCG) is available and actually has good daily volume of just under a million shares a day with just under half a billion in assets - i.e. it is liquid unlike many ETFs (website here). Further unlike some top heavy ETFs its assets are spread nicely over many stocks in an even manner.
Top 10 Holdings (as of 6/2/2010) Holdings Percent (%)
Mariner Energy Inc. 4.98
Cimarex Energy Co. 4.63
Pioneer Natural Resources Company 4.58
EOG Resources, Inc. 4.05
Ultra Petroleum Corp. 3.78
Questar Corporation 3.77
EnCana Corp. 3.58
Forest Oil Corporation 3.50
Newfield Exploration Company 3.44
Range Resources Corporation 3.43

I am considering one or the other as we speak ...
No position