We're trying to buy natural gas here. The spot price (the real stuff) of NatGas today is 3.55 as we speak. The July future contract is trading at $3.9, the August contract $4.01, Sep $4.1 ...etc all the way to Jan 2010 $5.95. The price of the future is higher due to cost of carry, interest, and also expectation of supply/demand.
Each day the premium of your futures contract slowly erodes away towards spot price. By the end of July your July contract is going to expire at the same price as spot. So if the price of spot is unchanged during July you will still lose money on cost of carry and interest which is usually a relatively small amount.
However the current situation is that this premium is huge. If we look at the July contract the premium over spot is $0.34 that's 10% for less than 2 month! The reason is that people expect future price of Natgas to be higher than the current price and are actually storing it up instead of selling it in spot market.
If you buy a July future at $3.9 that means you will only make money when spot Natgas is above $3.9 by end of July.
Of course you can still make money but it's going to cost you 10% no matter what. This is the same case if you want to hold for 6 months. NatGas price (spot) has to go to $5.95 for you to breakeven. To give you an idea, the Jan 2011 contract is trading at $7.3 - More than double the current price. So even if NatGas doubles in 18 months you're still only breakeven holding futures.
Buying UNG is just the same as holding futures and rolling over each month. There is no difference except you have to pay an extra 0.5% management fee.
A great example is crude oil. If you look at crude oil the futures hit bottom on Feb 12, 2009. The future price at that time was $33.5. Today it's trading at ~$65 almost double the low. The case is similar for spot crude it almost doubled since Feb. However if you look at USO the crude oil ETF it's Feb low (on 19th) was $22.74 and right now it's around $36 - just 58% increase. So in short Crude oil had doubled since Feb but if you invest in USO all you get is a 58% return. The difference is due to the roll over cost.
I'm also bullish in NatGas as well and what I did was to buy natural gas producer stocks. I am not sure if it's the smartest way but it's the smartest way I could think of so that's what I did.