That's a bit tricky. In baking, sugar isn't just there for flavor, so it's not a simple matter of switching out the sugar for something else. Depending on what you are baking, it's not just the flavor that will be affected by switching out the sweetener. Here's a nice little guide for cookies, http://www.eatingwell.com/article/115548/the-best-sweeteners-for-baking/
For a sugar substitute i have used Splenda for baking a few times, just simple cookies and quickbreads and it worked well. Note you will be most successful starting with a recipe that calls for a sugar substitute- just changing regular sugar to a substitute won’t necessarily work or taste good. Their website is helpful: https://www.splenda.com/cooking-baking-tips
For me Stevia and stevia products have a terrible after taste, i would not use stevia for baking.
Swerve may be your best bet, but you'll have to decide for yourself about the flavor. Also, some people have issues with digesting erythritol, the actual sweetener. In the original post you mention "natural" sweeteners, but things like Swerve, Stevia, Monkfruit etc. require considerable processing to make a product that can be used in baking. The usual "natural" sweeteners, such as honey, agave et al are, of course, largely sugar.
When you ask about natural sweeteners, are you talking about honey and maple syrup or more unknown types like date syrup or monkfruit or coconut sugar?
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Hope this helps a little.
Note you will be most successful starting with a recipe that calls for a sugar substitute- just changing regular sugar to a substitute won’t necessarily work or taste good.
Their website is helpful:
https://www.splenda.com/cooking-baking-tips
For me Stevia and stevia products have a terrible after taste, i would not use stevia for baking.