This is an excellent question that not too many people think about. The majority of flavored coffees utilize a number of artificial chemicals, as well as solvents like propylene glycol to get the flavorings to penetrate into the coffee grounds. The reality is that if your coffee is not specifically advertised as chemical-free, then it probably is not. There are very few flavors that can be added to coffee beans directly in the natural state; while cocoa beans and vanilla beans can be, both are quite expensive ingredients and artificial substitutes are readily available and much cheaper.
The best thing would be to add the flavorings yourself. You can add coarsely ground cocoa beans or vanilla beans to your coffee before you brew it. Alternatively you can buy pure extracts of other flavors at most health food stores, and add them to the coffee after brewing. The websites below have some additional suggestions for flavoring your own coffee.