A natively compiled language can be written in whatever language you feel is easiest to write the compiler in, so either the language you are most comfortable in or the language with the best parser/code gen libraries.

Once you can compile your languages source code, you could reimplement the compiler in your language, so that it is self hosted. Of course, you can't do this until you can compile your code, hence doing it in another language first.

If your language is interpreted or JIT compiled, running on some kind of VM, then obviously you won't be self hosting, so you need to use a lnaguage which is suitable for executing your language. Most people seem to choose C, I guess because its low level and they want to reduce overhead.

I myself find Python to be nice to write parsers and such in (and it plays nice with ANTLR), though my most successful code generator toy project was written in Clojure.