  The prediction of neutralino dark matter is generally regarded as one of the
successes of the Minimal Supersymmetric Standard Model (MSSM). However the
successful regions of parameter space allowed by WMAP and collider constraints
are quite restricted. We discuss fine-tuning with respect to both dark matter
and Electroweak Symmetry Breaking (EWSB) and explore regions of MSSM parameter
space with non-universal gaugino and third family scalar masses in which
neutralino dark matter may be implemented naturally. In particular allowing
non-universal gauginos opens up the bulk region that allows Bino annihilation
via t-channel slepton exchange, leading to ``supernatural dark matter''
corresponding to no fine-tuning at all with respect to dark matter. By contrast
we find that the recently proposed ``well tempered neutralino'' regions involve
substantial fine-tuning of MSSM parameters in order to satisfy the dark matter
constraints, although the fine tuning may be ameliorated if several
annihilation channels act simultaneously. Although we have identified regions
of ``supernatural dark matter'' in which there is no fine tuning to achieve
successful dark matter, the usual MSSM fine tuning to achieve EWSB always
remains.
