I forget which is which, but the harmonic and melodic minor scales are the same with this critical difference: the 6th and 7th degrees are raised when you are ascending, to lead into the tonic, and are flatted when descending.

The natural is simply the Aeolian Mode, or 6th degree of the Major scale.

The natural minor is probably best used for anything based on the Blues, while harmonic and melodic are generally used for jazz or classical.

Check out Olav Torvund's Guitar Page for a more thorough discussion on the minor scales and when to use them.