The nicest cooking fat I've ever encountered is Mangalitsa lard. Right now I make my pie crusts with half butter and half lard. It's amazing stuff: It's pure white, and it's not piggy the way so much lard is. And it's such a pleasure to work with. I've never had dough that was so soft and lovely.
You can order some here.
It is odd to think that I'm personally responsible for people like Ruth Reichl being able to live better lives via luxury lard.