I collect old cast iron frying pans. If you're going to go with cast iron, I would definitely consider buying one of the older pans....from Griswold or Piqua or Wagner...for the simple fact that they are superior. Back in the 40's and earlier cast iron pans were made out of much higher grade iron ore and milled after they were cast giving them a glass-like smooth surface that makes them fundamentally more non-stick. They are markedly thinner and lighter, yet counter-intuitively hold heat much better and longer than contemporary cast iron. Here, take a look. Contemporary Lodge frying pan on the left, a Griswold on the right:
Look on eBay. Make sure that the seller says it sits flat on a counter with no wobble as that means it has not been warped from being left sitting on a high flame. Keep an eye out at flea markets and country antique stores, yard sales, etc. I find them all the time and the ones I don't keep I clean up through electrolysis and refinish and then give to friends as gifts.
As far as seasoning goes, there are as many methods as there are cooks. Essentially, any sort of fat will do. Many swear by Crisco or lard. Cover it well with fat/oil/lard whatever and then wipe as much of it off as you can, throw it in a @400 degree oven for an hour, turn off and let cool in the oven, and you have your start. Then, simply never use soap on it. Wash it out with warm water or do as I do...throw a table spoon of kosher salt into it and scour it out with a paper towel, then wipe it clean and you are done. Over time the oils will build up a perfect non-stick surface. Seasoning is actually a continual process. It's filling the pores/imperfections of the metal with carbonized oil, building it up a bit, and then maintaining it. For that reason it's good to use a flat-edged flexible steel spatula on cast iron (contrary to non-stick stuff) which wears against the seasoned pan surface, maintaining that polished surface.
As far as stainless steel goes, it's main advantage...in fact it's only advantage is that it's...stainless. It's easy to clean, relatively speaking. It's not a particularly effective heat conductor. Most of the expensive stainless steel cookware, like All-clad, is actually stainless steel sandwiched around a better conducting metal like aluminum or cooper.
Most of my pots are old commercial Calphalon from the 80's that I got at a restaurant supply. They are 1/4" anodized aluminum although much of the anodizing is worn off the inside of the saucepans. They are ugly but they heat fast and evenly and it's pretty hard to burn something in them. So my answer to your question would be "It depends". Depends on what you want...ease of use, or even heating. If the latter, buy thicker cookware. If you want something that is bulletproof, get the stainless.
