Indeed - the side effects of finasteride likely arise BECAUSE of blocking DHT - if you took some natural herb that "blocked" as much DHT as finasteride did, you'd get exactly the same sides.
Saw Palmetto blocks less DHT than finasteride, and people report having similar, but less intense side effects on that.
Incidentally, there are two types of the 5ar enzyme that converts T into DHT. finasteride only blocks TYPE 1 5ar (which is reputedly only active in the hair follicles), while Dutasteride blocks both Type 1 and Type 2 5ar (type 2 is active elsewhere in the body - in the liver, etc.)
Perhaps, if you're unwilling to take finasteride, you could try some topicals? Nizoral, Topical finasteride, perhaps Topical spironolactone? None of the topical antiandrogens have been proven to work, but I am looking with interest at the experimental boards (there are some people messing about with Dermarollers and topicals, and claiming decent success there) - I am going to wait for some solid proof before I try this stuff myself, though