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The Oklo Reactor is the only known naturally occurring nuclear reactor on Earth. If that sentence gives you room for pause, it should; normally, generating nuclear reactions requires a great deal of energy and effort, which makes it all the more remarkable that the Earth basically managed to build its own reactor. Unlike man-made reactors, of course, the Oklo Reactor wasn't used to power anything, but it's certainly a spot of scientific interest, and it attracted a great deal of attention when it was discovered.
Discovery of the Oklo Reactor occurred in 1972, when scientists were analyzing samples of material from the Oklo uranium mine, located in Gabon, Africa. The scientists noticed that the isotope profile of uranium from the site closely resembled that of spent nuclear fuel, suggesting that a nuclear chain reaction had occurred. However, they thought this wasn't possible, so they were rather puzzled, until they investigated the site, and found out that a rare conjunction of circumstances actually “built” a nuclear reactor underground.
What happened at the Oklo Reactor site was that uranium deposits were resting on a bed of sandstone, and groundwater seeped through the uranium, collecting minerals along the way. As the Earth's crust shifted, the sandstone tilted, causing the water to pool, build up, and create a thick deposit of uranium minerals. A nuclear chain reaction started, causing the groundwater to boil away, which allowed the reaction to end. However, groundwater built up again, starting the cycle all over again, and this repeated itself several times.
Three sites at Oklo show signs that nuclear chain reactions occurred, although not in recent memory; they stopped around one and a half billion years ago. Intriguingly, the normally very hazardous byproducts of nuclear reactions remained sequestered at the Oklo Reactor, rather than spreading out and contaminating the surrounding soil and groundwater.
Before you go digging around for a natural nuclear reactor in your backyard, you might want to know that the conditions on Earth today make a natural reaction impossible. Levels of the enriched isotopes needed to start chain reactions have declined below the level where a chain reaction could start spontaneously, which is why uranium enrichment is such a big industry in nations which use nuclear power.