I use vegetable shortening.
Preheat oven to 350. Set in a big sheet pan below the rack you'll be using to heat your iron on, wrapped in foil to catch the excess.
Wash your iron with hot soapy water and dry. This gets all the factory protectant off of it. After you wash it, it's naked and vulnerable, for the first and last time in it's life. Run the shortening all over it. You don't need to turn it white, just get it all shiny.
Put it in the oven, upside down. You don't want any run-down to pool in the cooking area, or you'll get a bad seasoning -- it'll peel up or turn to a sticky mess.
Leave it in for an hour or so. Watch your hands when you get it out... cast iron holds a LOT more heat than other cooking vessels, so it can hot-through an oven mitt that's not up to the task. Set it out, and rub it down with some paper towels when you can hold it.
The first time you do this, it'll be usable, but not perfect. Your iron will probably be a medium grey after the first hour in the hot box.
For a first time seasoning a new vessel, I'll redo it immediately with a second seasoning pass through. I also leave it in the oven on the second coat for a couple of extra hours, cranking it up to 400 to really bake it on and turn it black. It should be slick, with nothing trying to peel up, and no pools or puddles formed in the working surfaces. Congratulations, you now have the last skillet you'll ever need, and the most durable working tool you're likely to ever find.
Your seasoning will keep on getting better with age and use, unless you do something silly like wash it off. It'll get darker, slicker, and more secure the more you use it. A well used skillet can be used to cook acidic foods like tomatoes without fear of getting an iron taste.
Keep in mind, this is not uber-wonder teflon... tossing a hunk of protien straight into it without some lubrication will sieze it up like super glue. Just be sure to add a little fat to the pan... oil, spray, shortening, whatever... right before you add your food, and you'll be good to go.
If you do manage to stick something to it, never fear... scrape it off, or scour it off with steel wool, and start over with a fresh seasoning. Compare this to tossing out a standard non-stick pan and buying a new one. :)
To clean it, I just wipe it out. If my food has left some residue, I'll give it a quick, no-soap rinse, or wet a paper towel.
For a more thorough cleaning, I've heard to sprinkle in some salt and wipe it around. The salt will get up any non-seasoning layers of crud that might be bothering you. When the salt is black, dump it out, and it takes all the crud with it. I don't bother, though... just wipe it and store it.
Once you and your skillet are a team, the sky's the limit. You can do good steaks in it. Delicate eggs. Cornbread. You can turn it over and cook on the bottom if you need a pure flat surface with no walls. With two of them, you can charge them up with heat, then take them off the heat and use them like a panini sandwich press.