Overview:

The history of natural gas extends to antiquity. In America it was known to the indians, who observed it issuing from the ground in various spots, chiefly along the western side of the Appalacian Highlands. It was used for illuminating purposes in Fredonia, N.Y., as early as 1821 and the effect was so striking compared to gas made from coal that a German scientist hailed the beautuful, clear gas lights as the eighth wonder of the world. Gas associated with Pennsylvania oil was used for industrial purposes first in Pittsburgh, and its general use then spread to other industrial centers.

Some sources of information:

Natural Gas Information and Educational Resources is an industry-wide collaborative effort to educate the general public on natural gas, including history, without company-specific overtones.
History of NW Natural, formerly Northwest Natural Gas Co., Portland OR - good detail. January 2000 update: This URL was not working during this update. We have EMailed them and have not gotten a response yet.
Virginia Natural Gas - a brief history.
Indianapolis Coke is the last gas distribution utility in the United States which mixes coke oven gas in its sendout product. An interesting history section.
Southern Natural Gas - history of a natural gas transmission company.
The history of gas regulation under federal law and how recent changes may affect the electric utility industry, prepared by the State of Indiana.

Energy Information Administration (home page), plus:

Historical Data and Analysis provides production and consumption statistics.