It's sometimes tricky to get a good idea of the range of colours that are available from natural dyes, particularly those natural dyes used by people in medieval Europe. Hence, I've made a list of some of the colours and dyestuffs available in Europe pre-discovery of the New World. Of course, note that not all of these dyestuffs were used (or obtainable) in all European countries historically (or even today!) and the expense of these dyestuffs was also variable.
These are listed by base colour (i.e. the colour obtained from a single dye, without using naturally coloured fibre, without using a colour-modifying mordant such as iron and without overdyeing) unless explicitly stated. At the bottom is a list of mordants and modifiers and a list of natural sheep/wool colours.
Note that many links appear multiple times (as they have multiple dyes mentioned in them) and some dyestuffs appear in multiple places, as it is possible to get multiple colours from them depending on the precise techniques, modifiers and mordants used.
If you have any recommendations for links to add to this list, please do comment. I will update this list periodically.