I do think that there are natural remedies out there that work, but only for certain women. My doctor told me to "get active" since we were trying to naturally induce my labor at 38 weeks but she specified that as walking and not sex. I walked until I could walk no more (you can only do so much when you're 9 months pregnant afterall) and after a week of being on my feet, nothing had changed. Then, after going to a doctor's appt and being told I was only at a 2, I went and had a pedicure and it sent me right into labor. Some people believe reflexology can stimulate your body into labor.
Sex can help induce it, but its like everything else it may or may not work! The hormone that is in sperm is also found in pitocin (stuff they use to induce you). Nipple stimulation is also suppose to help induce labor naturally. And others like stated above!
From what I've heard, nipple stimulation is the most reliable. Black cohosh (an herbal supplement) and red raspberry leaf tea are supposed to help "tone your uterus" which can help labor, but I don't think these actually induce labor. Castor oil helps purge your digestive tract (read: diarrhea) and the spasms of your bowels often trigger your uterus to contract too, bringing on labor. You have to be careful, though... I read 1/2 tsp. every 1/2 hour for 3 hours should do it (and stay close to a bathroom!!). Stripping the membranes (which your doctor can do), walking/being active, and having sex all loosen the progesterone that has gathered around the cervix, which can help trigger labor. If you are in the hospital for an induction, you might ask for the doctor to break your bag of waters and then wait a few hours to see if labor starts naturally.