Natural is about the only commodity that is currently depressed as you can see in the chart below (Source: IndexMundi) plotting the 10-year price of natural gas.
There are some ETF to invest in Natural Gas such as UNG (USA) or 1165N (France) that are supposed to track natural gas. However, their cost (due to contango partially) is prohibitive so that I would really advise investing in those, unless you are able to correctly guess the price of Natgas within 3 months. Those types of ETF will go to zero by design.
A safer way is to invest in several Natural Gas companies such as GazProm (Russia), Chesapeake (US), Gas Natural (Spain), GDF (France)... that may profit from higher gas price. If you are a dividend investor, you should also be pleased with those stocks.
It seems natural gas prices are more local than Oil for example. Have a look at the 10-year chart of the Russian natural gas. It does not seem as depressed as natural gas in the US.
Another to estimate if natural gas is overvalued or undervalued is to look at the Crude Oil to Natural Gas Ratio which is now around 21. (Source: StockCharts.com)
Historically, this ratio is close to 8 and 10 to due to energy density between crude oil and natural gas. I understand that there is currently a glut of natural gas and that new techniques to extract natural gas have been found. In the long run, this should be favorable for natural gas since it could become a cost effective way to replace crude oil in different sectors (utility, transportation...).