I will disagree with the top answers here and say that it is best to look for something saturated, with low iodine value. I personally stand by lard, but there are other options.
The advice that suggests high iodine oils is based on their easy polymerisation. So, if you don't execute your process perfectly, you end up with a polymer layer for a high iodine oil, and a greasy pan for a low iodine oil. Sounds like high iodine wins, right?
Well, this superficial advantage is actually their biggest disadvantage. The polymer you get from a badly executed seasoning with a high iodine oil is a major PITA. Enough of the abundant "sticky sites" on the molecules of the oil have made a connection to form the polymer - but even more are still free, available to grab on to something else, for example the food you are frying. The coating is soft, gummy, and sticky, and I have had it come off in patches during use. It can be hardened under the right circumstances, but that's not easier than getting a low iodine oil to harden (and I suspect it might be even trickier).
Save yourself the grief and go for the low iodine oils. I would say that whatever makes a nice firm bar of soap - lard, palm oil, coconut - is a good choice here. If you can get it right, it's a great layer - and if you can't, you at least know that you're back to the drawing board, instead of a silent failure that will cost you nerves down the road.