I generally use olive or peanut oil for sautéing and pan-frying. Being a lard newbie, I recently started using fresh lard in place of the oils, and ... well, there's this odor. When the lard is hot in the pan, it gives off a very strong, unpleasant odor. I was under the impression that lard was very neutral, so I'm a bit surprised at the smell.
I should add that I've had no problems with food I've cooked in lard picking up any flavor or odor. Even so, my wife is about to ban it from the kitchen because of the odor. Is this normal for lard? Am I using too much heat? Could there be impurities in the lard I'm using (purchased at the local farmers-market)?
I've noticed the same when cooking with lard. To me it smells just a little like slightly over ripe pork. Not quite spoiled, but... off. There doesn't seem to be an actual taste to it, though, and everything I cook in it is delicious. Maybe mine doesn't smell as strongly as yours though, since my husband hasn't complained yet.
My wife and daughter have banned it from our kitchen. I don't mind the smell, but it permeates everything in our very open-concept home. We all end up smelling like an old-school deep fryer (before transfats). I use it in small amounts and when nobody's looking, but I've generally stopped to save my 7-year-old from acquiring some esteem crushing beef-related nickname at school.
How long have you had it? Suet goes bad prety fast, but rendered fat (like lard and tallow) should last longer. That said, on occasions when I've used slightly expired suet, the first sign is a funky odor when it is heated, which sounds like what you're describing.