People who had/have naturally red hair:
Queen Elizabeth I of England
Amy Adams
Isla Fisher
Julia Roberts
Marcia Cross
Rachelle LeFevre (Victoria from "Twilight")

People who have dyed their hair red:
Lucille Ball
Scarlett Johansson

Fictional Redheads:
Anne Shirley (Anne of Greene Gables)

Redheads of Mythology and Religion:
Venus (Roman goddess)
Achilles (Homer's The Illiad)
Esau (Bible)
King David (Bible)
Mary Magdalene? (Bible)
Muhammad (used henna to dye his hair red)
Set (Egyptian God)

I know I'm missing a lot, so feel free to send suggestions (nobody raunchy, please).

Sources: Wikipedia