For many recipes, what you substitute depends on what your making. Lard is our first choice if shortening is truly necessary. It has all the same properties as vegetable shortening - makes flaky pastries, has minimal spread in cookies, and has a clean flavor. (Lard doesn't taste like pork unless it gets rendered with meat, as with bacon) Lard was the original shortening, after all!
Second to that, we go with butter. It behaves much the same as shortening, and it gives baked goods a rich, buttery flavor. We sacrifice flakiness for a superior creamy mouthfeel. Unlike lard or shortening, butter contains a little liquid, so remember to decrease the liquid in the recipe slightly if you're using it a substitute.
We've also heard of a few trans-fat-free shortenings made from things like palm oil and coconut oil. We've never tried them, but we're curious how they might work in baking. Marketing information and a few customer testimonials say that these shortenings can be substituted one-for-one for vegetable shortening and have a neutral flavor. Spectrum is a popular brand for these products that we've seen in a lot of health food aisles. Has anyone ever tried these products?
We've also heard that Crisco has produced some trans-fat-free versions of its classic shortening, but we couldn't find any information about this on their website and haven't seen the products ourselves.
What do you think? Do you use an alternative to shortening in you baking and cooking?