I dye my hair with henna. I love it because it is a sheer color, so my natural highlights show and the color looks more realistic, yet the color is quite bold. My natural color is a medium brown with golden highlights, but my hair is currently a vivid auburn, thanks to the henna.
It's very long lasting (you can treat it as a semi-permanent color) and is non damaging, as henna works by coating your hair, rather than soaking into the hair shafts. If it makes sense, consider regular hair dyes as working like a stain, while henna works like a tinted varnish. (Sorry, DIY geek showing through).
Anyway, I get my henna from LUSH cosmetics. I use the "Caca Rouge," (yes, red crap) which is a great bargain. A $12 block of henna lasts me about half a year, and my hair grows fast. I re-dye about every month-and-a-half, and my hair is shoulder length. They offer red, brown, black, and "maroon," which is apparently a combination of the red and brown hennas. I just use the red, and have been very satisfied with the effect.
However, and this can be a big "however" for many people, once you henna your hair, the hair shafts are sealed, and other dyes will not take, or will not come out true to color, your hair probably won'd bleach out for highlights, and it may not curl (or straighten) the way you want it to if you try to perm it. Even after the color fades from a henna job, the sealant properties may still be present. On the positive side, henna does seem to cut down on split ends. It is very conditioning--I usually have my best hair days shortly after I re-touch my color.