Paprika, cocoa, turmeric, and, yes, calendula are examples of spices and herbs that give attractive colors to lye soap. You aren't going to get super bright colors from herb and spice colorants -- they tend to be softer and more earthy looking. I understand clear purples and bright, true blue and red are tough as well, although I cannot speak from experience.
As far as the perennial issue of what is "natural" ... this issue comes up a lot on this forum. IMO, "natural" is a buzzword that means something different to every person. You will need to decide where your own personal boundary lies between "natural" and "not natural" and make your own decisions.
Even the simplest unscented soap you could make is not "natural" in that it is a chemical process that almost never spontaneously occurs without the intentional actions of humans. But obviously most people on this forum are willing to make an exception for soap, so obviously soap for most of us lies on the more "natural" side. But there are some who won't even use soap to clean their skin, and for them, soap is not "natural".
Micas are minerals mined from the earth and refined by humans. They sometimes have extra synthetic colorants added. Are micas natural or not? Some say they are natural; others say no. Spices and herbs are plant parts that are dried and otherwise processed by humans. Are they natural or not? Most people would say they are natural -- or at least more natural than micas. But some herbs and spices may irritate your sensitive skin and some micas might not. So "natural" is not necessarily better. Bottom line -- plan to test your ingredients and develop a list of what works for you within your definition of what is "natural" and acceptable to you.
Good ways to search this forum:
http://www.soapmakingforum.com/f11/how-search-soapmakingforum-like-pro-34885/