There are a number of types of fat that can be used, including a mixture of those below.
This gives good results, with flavour, colour, and some shortness.
Hard or block margarine is best as the soft kind can become oily and melt too quickly when you are rubbing it into the flour.
Another excellent choice, with a nice flavour which makes light, short pastry. However, the cost may prevent it being used on a regular basis.
This makes lovely short, crispy pastry, but it lacks colour.
Vegetable fats such as Trex, produce similar results to lard (without the animal fat) but produce a very pale result, with little flavour.
A mixture of fats
Ideally a mixture of lard (or shortening) with butter or margarine will make the best pastry. Remember it needs to be cold, so take it out of the fridge just before you use it.