Natural gas (methane, CH4) is a non-renewable fossil fuel formed with oil from the fossilised remains of small sea creatures. It tends to accumulate above the oil in pockets that can be piped elsewhere for use.
Although gas is the cleanest-burning fossil fuel, it still produces vast quantities of the greenhouse gas carbon dioxide (CO2). Unfortuantely, we are using up reserves very rapidly.
Both oil and coal are worse as they contain impurities which cause acid rain. It is for this reason that nealy 40% of the UK's electricity is now generated from gas: there are fewer harmful emissions.
Choose from the links above.