Worth noting (as with all accepted wisdom around fats) that lard has somewhat been rehabilitated and is speculated to actually be healthier for frying than vegetable oils - the theory being that vegetable oils, when heated, start to break down into toxic compounds. Lard and butter don't (at least, not at the temperatures you'd encounter in your kitchen).
Lard actually has the third highest amount of monounsaturated fat (theoretically 'good') of any cooking fat/oil -
http://www.bbc.co.uk/news/magazine-33675975 - better than sunflower oil. Not to mention it's very high in vitamin D.
As with all these things though, use what you're comfortable with, and remember there's surprisingly little evidence either way for one fat type being healthier or worse than another.