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I like grease that gets thicker at room temperature. So lard or even Crisco works great. However, at the end of the day your cooker will season itself so a simple spray of Pam will work just fine at kickstarting the walls getting sticky with flava.
The first time that I seasoned my pit, I used up several pieces of cans that the wife had in the cabinet that were either out of date or very close. I think there was regular Pam, some Pam Canola and even some spray olive oil. So now I have a smoker that has a universal seasoning and has really appreciated the time and effort that I took to make sure that it got a shot of many different flavors. The next time I season, I will probably stick to this very exotic recipe. It seems to work very well.