This all depends on what kind of thyroid problem you have of course. There are natural herbs that can be taken to help control the thyroid, such as Lemon Balm which is good for HYPERthyroid, and St. Johns Wort which is good for HYPOthyroidism.
I am currently out of the country so, getting my hands on the natural stuff is harder. I am right now taking 50 mcgs of levothyroxin a type of synthroid for my hypothyroidism.
There are a few new treatments that i have read about, but they are unsure if it will have an effect. They have T3 hormone in pill form, that you can take in conjuction with your T4 (synthroid). The idea behind that is that when they take your blood and measure how much T4 and T3 is in your blood, the T3 is usually inacurate simply because that hormone is found inside the cells of the blood and if your body isn't making enough it may not read that because there is still some in the blood stream. The T3 helps make the T4, so it really is a crucial piece in keeping you healthy.
But that treament may not be for you if you have hyperthyroidism which produces too much of one or both.
As an alternative prescription drug for hyperthyroidism, you have propylthiouracil (PTU)which is a hormone blocker.
An alternative for hypothyroidism would be Armour Thyroid and Bio-Thyroid which are both natural dessicated thyroid glands from pigs. (Ewww.. i know but at least its in a pill form.) Cytomel and Triostat are for hypo as well, and it says at drugs.com a little more about it being good if you are allergic to the other meds.
For more info on reputable sites on the thyroid check out wikipedia, endocrineweb.com, and thyroid.org for recently published thyroid research.