I'm no expert, but I've had good luck with mine.
Seasoning on cast iron is a coating. A lot of people get a new iron pan with its rough cast surface, put some oil in it and bake it, and expect it to be seasoned. The process of seasoning an iron pan takes a while, but the oil/heat is a good start.
If you look at grandma's cast iron pan, it has a smooth, matte finish. That's because the 50 years of using it has caused bits of fat, protein, sugars, and other things to sink down into those pores and basically turn into charcoal. It's hard carbon that has crystalized in the pores and rough pits of the cast surface.
Starting with a new pan (or one you just cleaned and un-did some seasoning), put a very thin coat of oil on it. The type of oil isn't really important, but flax oil, coconut oil, or other vegetable oil will be best. Olive oil or peanut oil can get sticky, but it works fine. Avoid animal fats like bacon grease as they contain a large amount of proteins and impurities which will smoke a lot and can leave a flavor. Your coating should leave the surface barely glossy. You don't want any liquid or puddles, just a light coat.
Crank up the oven as hot as it goes. Put the pan in. Don't turn the heat off until it is completely matte finish... that is to say, until all of the oil has oxidized. Turn off the heat and let it cool in the oven. No need to have a 500-degree pan sitting around. Repeat if you want.
As you use it, it will stick like crazy... which is good. Let that stuff get stuck in the pores. Remove the surface part of it with water and a scraper and season it again.
Depending on the surface of the iron, you can jump-start the process by sanding it smooth. The downside to this is that the resulting "seasoned" surface won't be as durable. Think of it like painting a fender... the smoother the surface, the less grip the paint has to hold on to. The right way to do it is to just tough it out, but you can smooth out the surface a bit first if it is really rough. By rough, I mean like the surface of a new Lodge pan you buy at WalMart. They take forever to get a good crust on them. If you have an old Wagner, they started life pretty smooth so you won't need to sand something like that.