I have seen some cocoa powders in natural food stores that claim to be “fat free,” but I didn’t pay much attention to these. A lot of cocoa powder on the market is, as Sebastian noted, 10-12% fat content, which when put into perspective, comes out to be about 1-1.5g of fat per tablespoon. Other premium cocoas will contain up to 22% fat because more of the cocoa butter was left on the cocoa particles. Ghirardelli’s unsweetened cocoa is a good stand-by. It’s natural (i.e. not Dutched) and has 15 calories per tablespoon and 1.5g of fat (10-12% fat content). So in other words, look for this type of cocoa when you shop.
Also, you must be aware if the cocoa is Dutched (treated with an alkaline) or natural. In many baked goods, the recipe will specifically state “Dutched,” “treated with alkali,” or “natural.” Never substitute Dutched for natural and vice versa because this will determine whether your baked good will be as flat as a hockey puck or light and fluffy. Dutched cocoa contains that alkaline that will cause the rising actions, but natural does not, so in the case you do substitute, you need to add a chemical leavener (i.e. baking soda).