I have two children and I didn't have any anesthesia on the first one and I felt everything, from the moment my stomach started cramping to the stitches they do after you give birth to 'closeup' your female area. There is a certain satisfaction you feel after giving birth naturally without any 'pain medications' but of course it is painful, but honestly speaking, the pain is temporary in giving birth, after you expel (ahem, pardon the words) your child from your womb, you feel a release of some sort that only mothers can feel I think.
Now for my second child, my delivery was painless, there was still some pain of course, specially during labor but I barely felt anything after that, I remember pushing but I didn't remember expelling my son into this world, when I woke up in the recovery room, I actually didn't realize that I gave birth! I thought I was still in labor.
Now this is my thought, if this will be your first child and you're a healthy individual and you don't have any major medical considerations, it would really be nice to go natural, why? You can say, it's a right of passage of some sort for moms, it would enable you to really 'feel' it, if you get my drift, but after that, for your second or third child maybe you can go painless, so as to lessen child birth pains. But as most of the commenters here said, it's really a personal decision, do what you, your partner, and your doctors think will be best for you and the baby of course.