On the Thursday Trick, Natural Hazards
I've already talked about phosphorus and what can happen when it's exposed to air. Here are some other ideas for deadly natural substances.
Sodium (Wiki Link): This is silvery metal (Looks like platinum!) that has wonderful properties when exposed to water. It begins to leak a damaging alkali and a highly flammable gas. The classic example from Grimtooth is having a giant "platinum" statue in a room behind a waterfall or beyond a pool. The explosion should do both large flame damage, but also spray their wounds with solvent, causing lots of damage over time.
Agency: Have your resident dwarf or appraiser identify strange metals before carting them off.
Methane (Wiki Link): Silent, Natural, Odorless and highly flammable (If you didn't know, methane in your house smells because they add something to it). And it's not really the explosion damage, but the likely cave-in afterwords that's the real danger.
Methane is also a great example of an asphyxiant. Even if your players don't carry a single flammable item, methane and other substances displace air, and there is little notice. The first thing that will happen is the characters will begin to feel drowsy as they start to suffocate. Other simple asphyxiates include propane which is also flammable, and Carbon Dioxide which is not for a nice change of pace.
Agency: Tradition was a canary, but any small creature dependent on oxygen will die long before humans. Your wizard wasn't really that attached to his familiar, was he?
Another natural danger is radiation. Normally radioactive materials make you ill a few hours after exposure and soon cause death, but because this is a fantasy game you can have it cause mutation which is much more enjoyable, for the DM. (And here's an awesome table by Scrap Princess)
Agency: Your best bet, for players is to pay attention to the local flora and fauna. A well described radiation danger would include lots of subtle but tertiary descriptions of strangely altered local inconsequential flora and fauna.