A natural roll is the actual number appearing on the die, not the modified result obtained by adding bonuses or subtracting penalties.
Example[]
A d20 is used to see if a character succesfully hits an opponent. He adds his base attack bonus to his attack roll along with other modifiers (such as his strength modifier). If a 20 is the die's roll value, this is a "natural 20" even if the modifiers results in a different number afterwards.
Automatic success[]
For attack rolls, a natural 20 on a d20 is an automatic hit regardless of the target AC. For saving throws, a natural 20 automatically succeeds.
Automatic failure[]
For attack rolls and saving throws, a natural 1 on a d20 is an automatic failure regardless of the target AC (automatic miss) or save DC.