In some case I believe it makes a big difference, and it others it makes no difference at all. For example, acetyl forms of certian nutrients have been shown to be more bio-available than no acetyl. At one time chelated minerals were all the rage until they realized it didn't make much of a difference. Minerals that are asportate instead of citrate are slightly more absorbable, but the difference is probably a a matter of a few mgs -- hardly worth the difference.
As far as "natural" vitamins, I don't buy it. The molecular structure of something like Vitamin C is the same whether it comes from an orange or a laboratory. Of course, an orange has other co-factors, but that is irrelevant when it comes to vitamins because they still have to processed and broken down into their molecular structure. So it really doesn't matter where the nutrient comes from, if it's in a pill, it all winds up being a procesed nutrient in the end.