Importance of Seasoning
Anyone who has tried to use an unseasoned cast iron pan will not need to be reminded of the importance of seasoning it prior to use. Foods cooked in unseasoned cast iron pan will stick to the pan easily. By using heat to "bake in" several thin layers of oil on the pan surface, cast iron cookware will be more resistant to rust and the layer of fat will prevent food from sticking.
Lard vs. Shortening
Generally speaking, any food-grade oil can be used to season a cast iron pan. Any vegetable oil, olive oil, coconut oil, shortening, lard or similar fat can be used to the same effect. Lard is rendered pork fat and vegetable shortening is the rendered fat from soybeans and other vegetables. Both are very affordable. There will likely be differences in the flavors that each type of fat imparts to the food cooked in the pan, but the differences are so minor that few would even notice them. The choice of which type of fat to use is therefore an entirely personal one; there is no particular advantage of one type of fat over the other.
Far more important than choosing the right type of fat for cast iron seasoning is to use the proper seasoning technique. First, gently heat the pan over medium heat to evaporate any moisture in the pan. Heat your oven to 300 degrees Fahrenheit and dampen a paper towel with a small amount of shortening, lard or other fat. Dab the inside of the pan with the paper towel to give it a light coating of fat. Place the pan in the oven, let the fat "bake" into the surface of the pan for 15 minutes and turn the oven off, leaving the pan in the oven while the oven cools. Repeat the process several times to ensure a proper coating.
It is important to stress that whichever type of fat you decide to use, only a tiny amount should be used. If a pan has excess oil in it and it is stored at room temperature, the oil will quickly go rancid. Also, avoid using soap to clean the cast iron pan whenever possible as soap can wash away the seasoning layer in the pan. Use hot water and dry the cast iron pan thoroughly before storing it.