Vitamin E is the exception, since there are chemical differences. But this isn't necessarily true. Recent studies have shown that natural E is not only better absorbed, but also better retained in the body than the synthetic form. Four of these are tocopherols, named alpha, beta, gamma, and delta. The other four forms of E are called tocotrienols.
Alpha tocopherol is by far the main type of E in the body.
Synthetic capsules are dl-alpha tocopherol. Most studies showing potential health benefits from E have used the synthetic form, which is cheapest and most widely available.