According to the documentation for Version 9, ND can calculate fractional and complex derivatives, as shown above.
I know what fractional derivatives are but I’ve never heard of complex derivatives.
Complex derivative most often means derivative of a complex function. I don’t see it mentioned anywhere but complex derivatives might be defined in a way analogous to fractional derivatives: by using an imaginary exponent in Cauchy’s integral formula.
Incidentally, it is stated in the Documentation that Method → NIntegrate does not work unless the differentiated function is in analytic form.