There are two (or more) types of CNG vehicles - dedicated and bi-fuel.

Dedicated natural gas vehicles only run on natural gas. These vehicles are restricted in their operating radius because they must stay within reach of a CNG fueling station. If you run out of CNG, you must either be towed to a station or have a vehicle that can transfer CNG to your vehicle come to your rescue. Dedicated CNG vehicles frequently have better tax incentives because of their CNG-only status.

Bi-fuel vehicles can run on both CNG and gasoline. When a bi-fuel vehicle runs out of CNG, it simply switches to gasoline and continues on its way. When my car runs out of CNG it makes a slight hesitation like it's shifting, all guages go dead for a second, then it comes back to life showing the status of my gasoline system. Some bi-fuel vehicles must completely run out of CNG before they will switch to gasoline (e.g., Chevy Cavalier) and others can be switched manually by a switch on the dash (e.g., Ford Contour).