The Natives represent the Natives (who would have throught!) of Africa and American Indians. They are at war with all other civs, and may seem to behave like Barbarians, but they are actually from another tean, and Barbarians may attack them too.
The Celts are a minor tribe that holds some European cities in the beginning and are at war with some civs.
The Independents are peaceful civilizations. When a major civ (like Rome, China, etc.) collapses, they turn into Independent cities. Also, some independent cities may spawn to represent other civilizations (you'll see Independent Jerusalem, Singapore, etc.) There are two of the Independent civilizations just for the decorative purposes.