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Imagine if every photo was lit using a flash gun, well the same goes for cinematic scenes. Often some of the most interesting and varied light is already right in front of you. Not everything has to be studio light rig based.
I don't think of 'lighting a scene' as always directly controlled, often it is wild. Lighting you can control is only half of the cinematographer's job and so many films make use of the sun as a key light. Terrence Malick has based a career on magic hour light!
The world of natural light is expansive and varied. As someone who has chased light a lot with DSLRs, and avoided the expense, power requirements and weight of having to carry lights around with me, here are some of my tips for a successful natural light shoot.