I have had two epidurals and three natural births. In order of worst to best this is my experience.
Worst: The first epidural. Apparently, they can give you too much epidural. I couldn't feel anything from the waist down. My husband and the friend who was helping literally had to hold my legs and move them to help me push. I experienced back pain for a little over a year afterward that my doctor said was from the epidural relaxing my muscles too much. Don't know if that's true. It finally went away, and I've never had problems with it again, so I'm going to take her word for it.
Next worse: Giving birth naturally to my third. This wasn't as bad as the epidural experience, but I woke up from a dead sleep in labor and had the baby less than an hour later. I barely had time to get to the hospital (let alone get an epidural). When I got there, I didn't even have time to undress. It was extremely stressful, made more so by a borderline rude nursing staff and a completely unconcerned doctor. The only plus was that it was quick.
In the middle: Giving birth to my fourth with an epidural. This wasn't a bad birth experience overall. However, the birth of my third was so stressful, I had lingering anxiety that made my labor literally stop in its tracks. They were talking about inducing after it stalled, and I didn't want to do that. Given the choice between that and the epidural (which they said might help me relax), I went with the epidural. This is when I found out that it doesn't have to block everything. The anesthesiologist was extremely good and struck just the right balance between being able to feel what was happening while numbing the majority of the pain. It allowed me to relax enough for the contractions to begin again, and I didn't have to have pitocin (hooray!).
Second best: Giving birth to number five naturally. Ironically, the circumstances were almost the same as number three. I woke up in labor in the middle of the night; we rushed to the hospital. I can't remember changing clothes first, and the baby came almost immediately after our arrival. The only difference was that I had pretty much total control over my stress/anxiety. I confess, I asked for an epidural when we got there, but even when I asked for it, I was playing mind games with myself. I knew the baby would be there before they could even finish putting my IV in, but it made me feel (slightly) better to think there might be some relief sooner.
Best: Giving birth naturally to number two. I went into the hospital in the morning. They broke my water. I had an awesome nurse who was also a trained doula who stayed with me the entire time. She coached me through the whole thing, and it was over in just under two hours with zero stress, lots of support, and everything just as smooth as could be.
My feelings on the matter: a good epidural is better than a bad natural birth experience. A good natural birth experience is my preference (a doula may be a good step to get there). Best of luck to you!