Now to differences between various solid fats. The basic determinant of these differences is melting point, with some taste issues added in.
BUTTER has the "perfect" melting point: it's just about mouth temp. That means it -- quite literally -- melts in your mouth. This is a large component of mouthfeel (texture is the other), which is very important in fat. Butter also has a lot of solids/impurities in it. In fact, butter is only 80% fats, the rest is water, non-fat dairy solids, and other (perfectly acceptable) odds and ends. If you melt some butter in a clear dish you can see this -- the bottom layer is most of the solids, the middle part is the pure butter, the top skin is the rest of the solids. If you separate the pure butter from the rest, you have clarified butter (do it several times you have Indian ghee), which has two properties. One, it has a much higher butterfat content, which will affect your recipes; and two, it keeps longer. Butter's lower melting point also effects its use as a frying medium -- it makes it more likely to burn in the pan and burn your food. That's why many recipes call for both butter and oil when sauteing. Butter for flavor and oil for high burnpoint. Butter is worse than useless for deep-frying. I suggest buying only unsalted – you can add salt later, but never take it out. Salt increases (somewhat) the likelihood butter will burn, and some recipes just shouldn’t have salt. (Wait a while, I may be able to think of one eventually.) Also, there is the school of thought that since salted butter lasts longer (true), unsalted is more likely to be fresh (hypo). I keep butter in the freezer, with only one or two sticks in the fridge.
MARGARINE is closest to butter. It was designed as a cheap butter replacement. It has about the same fat content and also comes in sticks. However, its melting point is higher, which ruins its mouthfeel – it does not melt in your mouth. If you meet someone who can tell, just by eating one, that cookies are made with marg not butter, it’s probably because the mouthfeel is "wrong." Marg is also useless for deepfrying. (The substance, not the woman we all know and love.) I have never tried or heard about clarifying margarine. As a hydrogenated fat, it turns to cholesterol as soon as it hits your system (just like butter). If I see it in a recipe, I automatically substitute butter. Do NOT use low-fat or diet butter in baking or cooking. That is ONLY for spreading on things. It has too much water and too little fat to be useful. I have a very definite opinion about margarine, which is not necessarily shared by the rest of the world. I say – why bother? I can think of only two reasons to use marg, and one is temporary. The permanent one is being a strict vegetarian. The other is price: the price of butter in the US has increased almost twofold since the spring.
LARD is pork fat. It makes for flakier baked goods – Southern biscuits and pie crusts, for example, as compared with the butter-based New England versions. If you’re interested, I can explain why, but not in this post. It also has a distinctive flavor. While butter is sort of sweet (strangely, salted butter tastes sweeter than unsalted), lard is not. Lard also has a much higher melting point; it doesn’t melt in your mouth but is great for frying. No self-respecting southerner would fry chix in anything but (or so I’m told). As a frying oil it can be used numerous times (how many is a subject of (ahem) hot debate) as long as the foods frying aren’t strongly flavored. You can fry taters then oysters, but I wouldn’t suggest the reverse. In most of the US lard comes shelf-stable – it doesn’t need to be fridged. I keep it in the fridge anyway, because I use it in pie crusts and so it must be cold. A pie crust with lard is more difficult to handle than with all butter, which is itself more difficult than one with oil. Don’t feed lard-based food to Jews, Muslims, Buddhists or vegetarians. They will get upset.
CRISCO is hydrogenated oil. It, like marg, will turn to cholesterol as soon as you eat it. It usually comes in a tub and needs to be measured out; doing so by water-based displacement is the most common and convenient method. Crisco also sells sticks and butter-flavored. The sticks are exorbitantly expensive and don’t cut well anyway – even from the fridge they’re too mushy to cut cleanly. I find the butter flavored a waste of time. I’d rather have multi-use crisco and add butter. A purist (and the Cooks Bible) says that crisco and butter/marg are not quite evenly interchangable – crisco is a little more dense (i.e., more fat per T) than butter. I say the difference is too small to be noticed. Crisco has no flavor, unlike butter, marg, and lard.