I would have put this up on the youtube page...but it was being silly and gave me an error....so I'm posting my comment here.
I have experimented with Henna for wool, as well as Indigo dyes for wool, as well as cotton. The Henna Page sells indigo crystals (and I have tried them), that adhere to cotton really well, and you dont need vinegar or any acid washes to get the indigo to stick...and it comes out a fabulous color of navy blue. there are versions of indigo plants that you can rub directly onto the fabric and it dyes it blue instantly.
Click here for the link to wikipedia on indigo
For other natural dyes for wool, you can use onion skins, blueberries, red onion skins or beets. Food coloring works GREAT for wool....and all you need is a vinegar bath for most wools