Lard is rendered pig fat. I usually find it under the brand name "Manteca" in places like Wal-mart. My first recipes used lard, but I wanted to switch to an all-vegetable recipe. I replaced the lard with soybean oil shortening and didn't notice any appreciable difference in texture, lathering, or consistency of my bars.
And shortening's cheaper to boot!
You have to be careful, though, and read the ingredients. Many brands of shortening are unidentified vegetable oil blends or, worse, a combo of vegetable and animal fats. It's virtually impossible to calculate a consistent SAP value for your soap when there's no way of knowing what fats and oils are in the shortening or what their proportions are.
I highly recommend Susan Cavitch's "Soapmaker's Companion" as a resource. She's got a section where she describes many of the more common soap-making oils, their effects, and how they react in CP. There's even a table that shows what each oil contributes to the soap (hardness, lather, etc.).