Canola oil is a standard go-to for seasoning. Vegetable oil and corn oil both work fine, too. Technically, any oil or fat should do the trick, but the aforementioned are better than others because they can get pretty hot before they start smoking. You’re going to heat your pan to over 400°F, so any fat with a low smoke point will fill your oven (and house) with haze. Solid fats like shortening also have high smoke points, but they’re harder to smear over the pan in a thin, even layer, so you should stick to liquids.