Early on in the film it appears that Natalie is the key to the whole mystery; she's helped Leonard find John G at long last. But as we go further back in time it becomes apparent that things are painfully more morally ambiguous. In terms of the ending Natalie isn't really totally relevant. Instead, she's a sign of how people can easily manipulate Leonard, using his disability to make him do things. Leonard has killed Jimmy, her boyfriend, and is parading around in his car and dressed in his suit. The initial anger dissipates when it's apparent he's no idea what he's done, but when pressure comes from Jimmy's associates she decides to use him. Although this could make her look totally manipulative, her actions near the chronological end (narrative beginning) show a different side to her; once she's learned of Leonard's past and his current mission there's a definite change in character - she's actually nice to him. Interestingly, the chronological end provides some resolution to her character arc. Her main drive seems to be to cleaning up after Jimmy's presumed death; get Teddy for killing him and keep his acquaintances at bay. In helping Leonard in a selfless way by providing him the identity of the new John G., she's actually dealing with one of those issues; she's unknowingly sending him to kill Teddy.
