Bert, here is what I have learned up to this point.
Briquettes are ideal for grilling or bbq. They burn more steadily, and maintain peak BTUs much longer than natural lump.
Lump burns cleaner and hotter, producing far less ash. Your peak BTUs will be higher, but you sacrifice time. Additionally, Kingsford and others put questionable binders and fillers into the charcoal during production. Natural lump is just that, natural. Royal Oak is the standard, and can be found usually at WalMart. Big Green Egg branded charcoal is Royal Oak, with a higher price tag. For baking, lump is great. A nice subtle, wood flavor. Briquettes impart a much stronger charcoal flavor, ideal for big chunks of meat, not bread or baked goods which easily absorb it. You can take it a step further with higher quality lumps like Wicked Good, Ozark Oak, Chigger Creek, Ono, etc. Often times they use specific species of wood to burn down to lump. The Royal Oak is usually natural scrap wood.
Here is a valuable link to an egger's lump review database, because there are differences in quality. Sparks, ash production, size of pieces, burn times, flavor, etc. http://www.nakedwhiz.com/lump.htm