I mentioned in an earlier post that UNG suffers from heavy losses from the steep contango in the natural gas futures market in addition to falling gas prices. This is because UNG invests in the front month contract and then "rolls" (sells the front month, buys the next month) once it reaches a certain date. This process leads to losses if the fund in continually investing in a premium and selling once the premium vanishes.
UBS release a series of ETNs (note that you are taking on counterparty risk with an ETN) that actually tracks only the contango of said futures (OILZ and GASZ), so instead of taking a position on the movement of natural gas or oil, you can invest directly in the decay due to contango. However, if the futures term structure ever moves into backwardization, these will perform poorly - so don't go too crazy. Here is the performance of GASZ so far - fairly impressive and uncorrelated with the stock market.