Since I've now experienced giving birth with and without an epidural a lot of people have asked me which I prefer. I say both.
With Henry, I was being induced. The pain was severe early in labor and meant a lot of hours in lots of pain. The epidural was the most heavenly sent gift of modern medicine that could have ever been created. However, the time it took to get the epidural and the risks that are involved with sticking something in your spine are not ideal in my book.
With Kate, I was far enough along when the pain got intense that I needed a little time to relax and recuperate before the actual birth. It was perfect because I got relief just before the most painful thing I've ever been through.
So, with the next one (which won't be happening for a while) I'm going to keep my options open. However, I would highly recommend going into labor naturally. It's much more exciting.