Seriously!?! Yes, Seriously. We do this once a year. Every year, around Fair time, we order pork and beef from the butcher. This includes the lard. To make it usable, it needs to be rendered.
Before you get totally grossed out by the idea of cooking with lard, let me point out a couple of things.
Do you know why McDonald's had the best French Fries? Lard (until the vegetarians demanded they change to veg oil)
All animal fat has 9 calories per gram. Lard has .4g of saturated fat and 1mg of cholesterol. Because it is natural, there are no trans-fats in lard.
Vegetable Shortening (Crisco) also has 9 calories of fat per gram. .3g of that is saturated fat. 0mg cholesterol. Not much difference.
Butter is only 7 calories per gram, but .5g is saturated fat and 2 mg of cholesterol.
Lard is great for frying because it has a high smoke point. (We really only deep fry a couple of times a year, though)
Mostly we use it in baking powder biscuits and pie crust. I usually do half butter and half lard. I don't recommend licking the spoon. Whatever flavor lard has cooks away, but it's not great 'raw'.
I have also made soap from lard. I can talk about that on another post, sometime.
Wikipedia has a great article on lard here, if you want to read more.
A funny story about lard. My father-in-law used to talk about eating lard and sugar sandwiches when he was a kid. So the first year we rendered, we made one for him. He took one bite. He didn't finish it. We have some great pictures of the event (somewhere).
So you start with your lard from the butcher. Hopefully they ground it for you. Put in a large pot with some water and cook for a long time. We do this outside on a gas grill with a burner.
Pour/ladle into jars and let cool. You will need to store lard either in the fridge or the freezer. We keep ours in the freezer, and one jar in the fridge to use.