I've concentrated on preservatives and emulsifiers, since those two are key ingredients that are to find in a natural and effective form. After those two ingredients, it should be easy to find everything else as close to natural as you care for it to be.
Water- The simplest choice is distilled water (not purified or tap, since those might introduce things to your lotion you don't want). You can also try hydrosols and aloe vera juice, plus some other things I'm sure I'm not thinking about. Some hydrosols and aloe do include preservatives, so you might want to consider that when choosing your liquid.
I wonder if you could use wine or beer in a lotion, like you can with a soap. Though you might end up smelling like you've been at a bar all night and had too much to drink.
Oils- So many kinds, including the butters like cocoa, butter, and shea. I use strictly plant based oils, but there are animal oils (lanolin, emu, etc.) that are available. Looking at some suppliers, I'm surprised to see all the oils I never knew existed!
Humectants- Humectants draw in water or help to retain it, making the lotion a better moisturizer for your skin. Glycerin is a well known natural humectant, with the disadvantage that it can be kind of sticky. I've taken to using sodium lactate instead of glycerin, since I think it feels better, and it also can be added to soaps help them harden. Sodium lactate is derived from the fermentation of sugars, usually from corn or beet. Since I began looking into lotions, I've become interested in Honeyquat, a conditioning humectant derived from honey.
Antioxidants- Use these to extend your oils so they don't rancid too quickly. Rosemary oleoresin extract (ROE) and Vitamin E T-50 are both good choices- I often use one or both in my oil based products.
Additional Additives- There are a lot of additional things you can put in lotions- waxes, thickeners (like xanthan gum), and extracts, plus other ingredients depending on your goal. If you want to add a little color to your lotion, you can add a bit (not too much, since you don't want to color your skin!). Use essential oils for a natural scent or fragrance oils if you're fine with using those. For colors and fragrance oils, make sure you're only using things that are safe for the skin.