Hmmm... I think there was a thread before about this, but I don't recall it going very far.
I just recalled, when I was a kid I lived near a very rocky beach, and I could easily find big flat rocks. Kinda blacky grey, often with a white stripe - dunno what they're called, but I used to use them for sharpening my knives, and if I could be bothered (I was only 7-8
) I'd finish the edge with a bit of slate - we had an abundance of that lying around too, from what used to be a barn in our garden (resembled more a pile of rocks when we arrived).
I think the problem with most natural stones for sharpening is that there's rarely a constant grit... you can get a very fine stone, but inside might be a big shard of somethingorother that'll put a nasty cut in whatever you're trying to sharpen. if you're using a cheap knife and you really need to sharpen it, then I guess you wouldn't have a choice, but it'd be ill advised otherwards.
Anyway, the stone I mentioned above - black-grey with a white stripe - tended to work relatively well, and generally had a fairly consistant grit size, though it was a large grit size, so it wasn't for finishing.
Hope this helps!
Pete