A while back I was listening to Lynne Rossetto Kasper's show The Splendid Table on my local NPR station (89.3 WFPL). They began talking about seasoning cast iron and I had to try it (you know the feeling; you're an instructable-head too).
There is a lot of debate about what kind of oil to use when seasoning cast iron. Some people swear by lard, while others say that since pigs have been bred to be skinny genetic freaks their fat doesn't contain enough omega-3 fats to properly season a skillet. It's a debate that goes on and on. But I think this is the final answer.
It's an easy answer. The primary reason is to protect your investment. Seasoning creates a protective coating that stops your skillet from turning into a rusty mess. The second reason is that it it gives the pan a nonstick coating.
Yes, it's nonstick, but don't expect a slick as teflon coat. If you want that, buy a cheap teflon pan. But if you want something that will out last you and be infinitely more versatile than a teflon pan, then cast iron is the way to go.
What Is Seasoning?
Good question. Essentially, you could say that it's a burned on coat of oil. To get more specific though, beyond the smoke point of an oil the fat begins to break down and polymerize into a hard coat for your skillet or pan.
If you want more information please go to this lady's site. I believe it was her that I heard on NPR that day.