I used to use Lush's Caca Rouge which is good but a bit of a pain to apply (grating the block etc).
I now use body art quality henna after coming across a forum devoted to henna for hair! I'm sure a quick google will bring it up. Anyway, the body art quality henna has stronger pigments so gives a more intense colour. But I still recommend the Lush stuff if you want to try it.
You mix it into a paste (think thick yoghurt) with water and/or lemon juice. I then apply it to my hair (wearing gloves and putting a barrier cream around my hairline), twist my hair up, wrap my head in cling film (sexy) and leave it for at least 4 hours. Then rinse it out (this part takes ages and can look scary in the shower but its worth it).
It comes out bright but will lessen after a few days and richer into a beautiful colour. Henna doesn't fade, which is a big plus point, and doesn't damage your hair (be gently with the rinsing it out). I've dyed over mine several times over the years and its been fine, you just can't bleach over it, they don't mix well.
The colour of henna builds up over time, so when I started using it 5 years ago (my hair is mousy naturally) it turned this amazing brilliant coppery orange colour. I loved it! Now it's more of a rich auburn with copper high lights. Oh and heat intensifies henna (hence the cling film) so if you're out in the sun it will make the colour brighter. I do it every few months to touch up my roots but I don't have to it, if you see what I mean, I could go longer, unlike when I used chemical dye.
Any more questions?
Sorry if this post was rambled, was trying to type it out on the ipad whilst breastfeeding DD!