With the natives, I've found that they are willing to give very good prices on many things. It may depend on the land you're on, but I've had a few games where I can get the Inca or Aztecs to pay me upwards of 1500 for full loads of tobacco and get back full loads of silver for somewhere around 500. I will sometimes fill ships with tobacco, tools, and trade goods... and all three of these items have low initial prices. (even horses and muskets do too, but that can be a two-edged sword...) This kind of trade makes it worth roading to the natives' villages as well as building wagon trains.
Two other quick benefits:
If you stay on the natives' good side, you can trade them horses and muskets and not have to worry (overly much) about attacks and then when you declare independence, they will help you fight your overlords. This is a tactic I've used more than a few times, especially again with natives slow to anger (Incas, sometimes Aztecs, and occasionally Iroquois). There have been a few fights I've seen at times where the Incas completely decimate a Stack of Doom of five dragoons with a couple artilleries.
Benefit #2 is almost a restatement of the raw materials post, but an important one to me... the fact that many towns may be in beautiful positions but have no access (or bad access) to ore. The natives are a darned good way to alleviate this condition, especially if you are able to get a good finished-goods trade going. Just pinpoint a few villages that have access to surrounding hills, sell them some of the finished goods (sometimes at a darned good profit) while taking their ore, and this will be a good way to keep the raw materials flowing.
Besides... I seem to remember hearing somewhere that the more trade you do with your wagons, the higher the chance of converts becomes as well. This may be purely a function of natives' attitudes towards you, but it does seem to bear out when I play.
