Nature? Free hydrogen doesn't really exist on earth; atmospheric hydrogen is something like 1 ppm. There's tons of hydrogen on earth, but it's all in water and hydrocarbons, which you have to split to get to the hydrogen itself.

The Wikipedia article on water splitting notes that "production of hydrogen from water requires large amounts of energy and is uncompetitive with production from coal or natural gas." If you're capturing it as a byproduct of an existing process, then it probably makes sense, but just applying electricity to water to generate hydrogen to burn isn't very economical right now.