I have found that most webmasters have a really hard time objectively deciding which links are spam.
If you have received an unnatural links message than an unnatural link is any link that you, or your SEO created.
You don't need to worry about any nofollowed links.
Almost all keyword anchor texted links are unnatural. I also call the following unnatural:
-links from article sites
-followed blog comments using anchor text
-most directory links (think - would I make this link if search engines didn't exist?)
-followed forum sigs or links from forum posts
-followed bookmarks
-most blogroll links
The only truly natural links are ones where the other webmaster was the one who decided to link to you.