I use henna, specifically this two step one
here.
The advantage of henna is that it binds to and coats the hair, makes it stronger and improves its condition, plus its effect builds with each new application. I have very fine light brown hair and the pure red makes my hair go a sort of coppery colour (at least after it's oxidised over a few days). This two step henna process definitely covers grey and doesn't wash out, though obviously roots tend to be grey as hair grows. Other shades of darker/less red henna tend to have indigo mixed in with them. Indigo is another amazing natural colourant, but my hair just sucks it up and turns very dark brown/black, regardless of the shade of the henna mix, though many have great success with it.
btw, a lot of the girls on the
longhaircommunity.com forum, and who have amazingly long and beautiful hair - swear by the henna product called: Rainbow Research Henna. I've never used it 'cos am happy with the two step brand I use, but if you're going to try henna, could be worth bearing in mind.